Dependency and Forward-Propagating Graphs

Although I’ve blogged about Athena before, its worth a re-read of Athena from the JPM careers data.

Dependency graph – developers define specially decorated Python classes to represent markets, financial instruments and deals. A runtime parser inspects the classes to build an in-memory dependency graph representing the relationships between them. This provides a natural and powerful way to explore ‘what-if’ scenarios by moving market rates and examining the impact on prices derived from them.
At the core of the (athena reactive) framework is a forward-propagating graph, where nodes contain units of work scheduled forexecution based on their ranking (topologically sorted order) in the graph.

~ by mdavey on November 11, 2013.

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