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Parameter contexts

Tbricks’ instrument parameter model supports hierarchically inherited parameter values as well as separate parameter contexts for different user groups, making it well suited for large organizations.

Tbricks supports parameters set on a group level, so that they can be shared across multiple instruments with a common parameter value, such as volatility, zero-coupon yield curve etc. There are many predefined instrument groups in the system, including market product groups, sectors, currency, combination type as well as completely custom groups. All instruments in Tbricks can belong to an arbitrary number of such groups.

Parameter values that are set on a group level can additionally be overridden for a specific instrument, providing full flexibility. You can even allow per-user parameter values, should you wish to do so. This makes it very easy to manage parameter values, including customized parameters that you have added yourself.

Additionally, you may wish to set different values for different user groups for a single parameter, depending on the context. Typical examples of context are Trading and Risk, where you need one value to trade the instrument, and another value for calculating risk.

Tbricks supports an unlimited number of defined parameter contexts, as well as the ability to specify a fallback order between parameter contexts. This allows, for instance, a risk team to override a specific subset of parameters while sharing others with the trading team, thus reducing unnecessary parameter management.

Highlights

  • Hierarchical instrument groups with parameter inheritance for efficient parameter management.
  • Support for an unlimited set of contextual parameters for per-group values.
  • Support for fall-back hierarchies of such contextual parameters for convenience.
  • Support for per-user parameter values.

Building blocks

Itiviti Risk and PnL

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