Info
| Version: | 3.1.2 |
| Author(s): | Steve Channell |
| Last Update: | Friday, February 26, 2021 |
| .NET Fiddle: | Create the first Fiddle |
| Project Url: | https://github.com/channell/Cephei |
| NuGet Url: | https://www.nuget.org/packages/Cephei.QL |
Install
Install-Package Cephei.QL
dotnet add package Cephei.QL
paket add Cephei.QL
Cephei.QL Download (Unzip the "nupkg" after downloading)
Dependencies
net48
- Cephei.Cell(>= 3.1.3)
- FSharp.Core(>= 5.0.0)
- ILGPU(>= 0.9.1)
- System.Collections.Immutable(>= 5.0.0)
- Cephei.Cell(>= 3.1.3)
- FSharp.Core(>= 5.0.0)
- ILGPU(>= 0.9.1)
- System.Collections.Immutable(>= 5.0.0)
- Cephei.Cell(>= 3.1.3)
- FSharp.Core(>= 5.0.0)
- ILGPU(>= 0.9.1)
- System.Collections.Immutable(>= 5.0.0)
Tags
Financial model are coded as a series of functional definitions and the dependency graph is derived at runtime as calculation is performed. Overall Cephei parallelism is significantly faster because: [1] Financial calculations are compute intensive with natural independence between instruments in a portfolio, [2] any number of market changes can trigger the need re re-value an instrument.
Cephei.QL is a foundation for the Cephei.XL Excel addin that allows models to be built in Excel and saved as functional programs that are algorithmically identical to the source spreadsheet, but can be combined with application code for server deployment.
Server deployment can include Cephei.Orleans for Financial “Digital Twin” of Portfolios for real-time risk
The source types can be used as-is or as recipes for domain specific implementation with the Cell Framework.