A Technology Platform with a MATLAB Backbone: A Financial Engineering True Story
Edward Byrns, Jr., Munich Re Trading LLC
At Munich Re Trading LLC (MRTL), a leading expert in risk solutions worldwide, the technology platform is a cutting-edge combination of algorithms and computations integrated into a .NET service architecture supporting a myriad of applications. This design relies heavily on our Risk and Market Analytics (RMA) library, which is developed in MATLAB®. While it is not always evident in the final product, MATLAB is the computational environment supporting our entire cloud-based solution.
The platform is in production and is a strategic asset for our business. Accessible from multiple countries in North America and Europe, the platform enables complex weather and commodity trades and supports market and quantitative research. Due in large part to the flexibility of MATLAB, the entire platform was developed and is maintained by only a handful of personnel. In a typical day, over 2400 MATLAB events occur, consuming nearly 3000 CPU minutes. In excess of 1.5 GB of data is captured or created daily, with the underlying database warehouse approaching 3 billion rows of readily accessible data.
This session discusses MRTL’s platform design and how MATLAB is integrated throughout the solution. Edward Byrns illustrates how the MATLAB language provides a comprehensive development environment suitable for a scalable production solution. Specifically, he follows a path from the command line, through user interfaces, into a service layer and ultimately demonstrates live application events. He further illustrates how MRTL’s application events are seamlessly integrated with the interactive MATLAB environment, returning from an application event back to the command line.
Recorded: 25 Mar 2015
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