/yieldcurves

Primary LanguageC#

Build & run

  1. Install docker & docker-compose:
  2. Install node js
  3. Download dotnet 3.0
  4. Run all.bat (linux variant coming soon)
  5. Navigate to http://localhost:8081

Introduction

I created this project to learn new technologies, especially event sourcing and microservices. The business case is a complex one: constructing yield curves. I chose this business case precisely and only because it is complex: I wanted to try new technologies in a setting that goes beyond the usual examples one can find online. I have no real ambition to get the actual calculation of curves up to par with industry standards. This project is not at all ready for production.

Demonstrated patterns / technologies

  1. Clean Architecture https://gist.github.com/ygrenzinger/14812a56b9221c9feca0b3621518635b http://blog.cleancoder.com/uncle-bob/2012/08/13/the-clean-architecture.html https://www.amazon.com/Clean-Architecture-Craftsmans-Software-Structure/dp/0134494164 https://www.pluralsight.com/courses/clean-architecture-patterns-practices-principles

  2. Domain Driven Design (use of Aggregate Roots, Value Objects, rich domain model) https://www.amazon.com/Domain-Driven-Design-Tackling-Complexity-Software/dp/0321125215 https://www.amazon.com/Implementing-Domain-Driven-Design-Vaughn-Vernon/dp/0321834577 https://lostechies.com/jimmybogard/2010/02/04/strengthening-your-domain-a-primer/ https://www.pluralsight.com/courses/domain-driven-design-fundamentals https://www.pluralsight.com/courses/domain-driven-design-in-practice https://vimeo.com/43598193

  3. Command/Query Responsiblity Segregation https://www.pluralsight.com/courses/modern-software-architecture-domain-models-cqrs-event-sourcing https://www.pluralsight.com/courses/cqrs-in-practice https://vimeo.com/131633177

  4. Event Sourcing https://martinfowler.com/eaaDev/EventSourcing.html https://github.com/EdwinVW/pitstop https://github.com/rbanks54/microcafe

  5. Micro Services https://www.oreilly.com/library/view/building-microservices/9781491950340/

  6. Micro Frontends / Composite UI using distributed Vue Components https://martinfowler.com/articles/micro-frontends.html https://markus.oberlehner.net/blog/distributed-vue-applications-loading-components-via-http/

  7. Actor model with Akka.NET https://getakka.net/

  8. GRPC / Protobuf / Streaming

  9. Nuxt / Server Side Rendering

  10. Generic controllers

Inspiration taken from: An Opinionated Approach to ASP.NET Core - Scott Allen https://github.com/jbogard/ContosoUniversityDotNetCore

Application

A yield curve is a line that plots yields (interest rates) of bonds having equal credit quality but differing maturity. The slope of the yield curve gives an idea of future interest rate changes and economic activity. https://www.investopedia.com/terms/y/yieldcurve.asp

To construct a yield curve, you need data from the stock market (e.g. instrument prices), as wel as certain models that can be applied to this data. This application offers the following functionality:

  • Add instrument definitions to the system (manually)
  • Assemble these instruments into market curves (manually)
  • Add pricing information for these instruments (manually)
  • Define recipes in which the market curves should be manipulated into calculated curves (manually)
  • Perform the actual calculations when all required information is available (automatically)

To do:

  • Proper authentication/authorization
  • Extensive unit tests
  • Migrate at least a few microservices to F# or another functional language: suits the event sourced code, as well as the business case