소프트웨어 콤포넌트를 이용한 금융 모형베이스 구축에 관한 연구

Abstract

As financial markets are volatile and rapidly change, decision support systems (DSS) comprising the financial products (considered as models) and pricing algorithms (considered as solvers) are increasingly adopted to support precise evaluation and risk assessment in the portfolios To effectively use the financial DSS, the trader should be able to know which algorithms are applicable to a specific product and to match flexibly the product with appropriate algorithms depending on the product purposes. Moreover, since the products and algorithms are continually being created or modified, the financial DSS should be adaptable to the changed products and algorithms. This paper proposes model-base construction mechanisms in a financial DSS using the software component technology. By encapsulating each of the models and solvers as a software component, the model-base allows a new model or solver to be plugged into the financial DSS at runtime. Also, changes of a component can be made to the financial DSS with little or no effect on the remaining components.