FAQ - musicfox/sim-exchange GitHub Wiki

Why does the OPL need to “search” for prices?

It doesn’t, for the purposes of actual portfolio allocation, at least. The “search” mechanism is for another purpose, actual mean-variance space exploration, since in a new market we shouldn’t assume we know the universe of assets (an asset being some package of mu and sigma dynamics through time).

So let’s simplify and remove that from the OPL requirements, for now, as of May/June 2020. So all we need to do is directly package portfolios of assets for investor users  and portfolios of liabilities for asset users, given those available in the DemandQueues. 

Do we match for mu and sigma? Can we do that?

We can't match for both at the same time. For now we can simplify and assume a target mu for some given (or available) sigma.

In the future these will be functionals dependent on some dynamic time-based risk factor functional. Hence, the general language around targeting both parameters.

How do we think about pricing the cash flows?

Firstly, thanks to Joe, think about pricing cash flows as bonds that pay continuously. The valuation models for the asset investment users are outside the scope of sim-exchange, as it is expected that the mu and sigma parameters sim-exchange is given are standardized.

For our early development, we simply simulate these users' parameters and arrival times.