Comment by bwanab
2 years ago
Ha! For those of us who were in the Morgan Stanley Fixed Income group for many years in the 1990s and 2000s AW is known for APLus which was used extensively for modeling and application work.
2 years ago
Ha! For those of us who were in the Morgan Stanley Fixed Income group for many years in the 1990s and 2000s AW is known for APLus which was used extensively for modeling and application work.
There were a lot of different and kind of weird attempts at this in the industry. The basic problem is that recalculating DAGs and monte-carlo simulations using a ton of floating point math was extremely expensive. Excel was way too slow, C++ required expert programmers and much better organization of programming teams to figure how to coordinate cached intermediate values. MS went with APL, which reduced a lot of the boilerplate and allowed for relatively easy memoization. GS went with SecDB which treated computation as memoized DAGs. Not sure what the others did