Web-based System Integration

• Derivative valuation functions are integrated using Web technologies into a service which can be accessed from any platform which supports a graphical browser
• Using a combination of HTML forms or Java front-end, CGI mechanism, Perl scripts and modules written in C and MPI, which are executed on multiple NPAC RS 6000 and Sun workstations and the SP-2, the user can:
  • retrieve historical data from flat files
  • perform statistical analysis
  • display charts and histograms of historical data
  • estimate parameters of the underlying stochastic processes
  • enter own estimates of model parameters
  • perform simulations
  • display charts and plots of option prices and their sensitivities as functions of time, underlying stock price or option contract excersise (strike) price
• In the next stage, flat files will be replaced with a parallel Oracle server
• Ultimately, the graphical user interface will be supplemented with an agent-based middleware layer, implemented in Java, where derivative pricing and risk management services will be requested and dispatched to the parallel Monte Carlo engine and returned to the client using an EDI-like protocol encapsulated within the KQML envelope.
• This will be a prototype of the new service economy that will flourish on the Web.