pbb Deutsche Pfandbriefbank XVA/CVA Case Study

Key to the fund’s alpha generation strategy is the ability to run high frequency backtests of their trading and investment ideas, so they can try them out under various scenarios before putting “real money” to work. The backtest environment needed to be easy to use and connect into Python (their preferred programming language).

When developing the application, the firm identified the need to add an analytics library to assist with bond and cash flow calculations. They required a solution that would integrate with their existing application and provide developers with thorough documentation and intuitive tools for speeding the process of adding analytics.