292 Index
performance checking ( continued )
black box testing 119–20, 215–16
control 121
final audit 216–17
gray box testing 119
inspections 115–16
prototyping 120–1
QA 214–15
shadow trading 165–8
spreadsheet testing 116–18
test runs 121
trading/investment systems 39–40, 41–3,
115–22
trading the prototype 120–1
user documentation 218
walkthroughs 115–16
white box testing 118–19
performance controls 245–50
attribution calculations 246–8
benchmarking 245–50
best practices 250
single performance calculations 246
VaR calculations 248–9
performance forecasts, Money Document 70
plan-do-check-act (PDCA) cycle, continuous
improvement ( kaizen ) 271–2
planning
collaborative planning 186
iteration planning meetings 186–7
performance 237–44
risk processes 237–44
technology specifications 183–91
point-in-time data problem 152–4
portfolio management 6–7, 42–3, 46–8
effective 48
methodologies 47–8
new methods 47–8
prioritizing 6–7
research 47–8
portfolio review, Gate 2; 171–2
pre-development activities 56–7
presentation tier, software 194
preventive action, defining 21
price data 141–2
prioritizing
portfolio management 6–7
trading/investment systems 6–7
probationary trading 39–40, 41–2, 216–19
defining 26
process approach, to management 22
process benchmarking 16
process, defining 21–2
process improvement, Gate 3; 222–4product, defining 22
product realization, defining 19, 22
product teams 5–6, 23
assembling 50–2
bonus structure 52
gate meetings 125
incentives 52, 55–6
Money Document 70–1
responsibilities 53–4
role 53–6
size 54–5
skills 54
top management ’ s role 50–2
velocity 52
programming
see also modeling software; software...
building the system 206–8
code reviews 209
multithreading 207–8
project risk 7–8
categories 7–8
projected revenues, Money Document 75
prototyping 105–14
see also modeling software
best practices 114
components 107–8
consolidation 113–14
conversion to coded models 132–3
evolutionary prototypes 110
known calculations 112–13
new calculations 113
performance checking 120–1
purpose 108
RDL 106–7
robustness 109–10
spreadsheet modeling 111–12
throwaway prototypes 109–10
tips 108–9
trading the prototype 120–1QA see quality assurance
quality
defining 23
trading/investment systems 4
trading/money management 4
quality approach, development 9–11
quality assurance (QA)
see also continuous improvement ( kaizen )
backtesting 134–5
ISO 9000; 272–3
performance checking 214–15
quality control, risk 232–3
quality management 1–2