Wednesday, March 9, 2011

CDS trading platform - IV

%%Q: how is JNI used here?
A: some calculation module is in C; some external API is in C. It’s a pain to rewrite things into java, but “we do want to”.

%%Q3: how does a CDS dealer hedge its exposure after it does a deal with a client?
A: It creates an offsetting deal with someone else

%%Q3b: but the dealer can’t disappear from the scene, right?
A: right. Consider an original mtg lender who sells the mtg off to Fannie. The mtg is completely off its books, but every month it still collects the installment. Similarly in the CDS case, the dealer still collects the quarterly premium, with or without the hedge.

Q: personal experience with MOM tuning?
%%A: message rate; subscriber population (RV handles this gracefully); message size and depth
%%A: one slow subscriber can cause message build-up in the broker, but TTL can help.

Q: how is quick sort used on array list and linked list?
%%A: random access needed. In STL, the sort function template is usable on only selected containers, whereas linked list (and other containers) has its own sort() method because the standard sort function is inapplicable.

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http://www.linkedin.com/in/tanbin