Cephei is a good tool for Funds that want he freedom to rapidly build models in Excel and transfer to servers for real-time risk management.

Cephei is a framework that enables models to be developed in Excel using the rich information networks provided by Bloomberg and other, and rapidly converted to applications code that can be used for real-time pricing, portfolio and risk management.

The Cephei Framework uses parallel calculation of the Cells to provide performance that is usually superior to manually translated algorithms. Parallel background calculation removes most of the work from Excel allowing it to operate as an editor/financial-desktop. The calculation model in Excel is exactly the same as a model deployed on a server – deployment decisions are driven by opportunity/need rather than resolving problems

Excel as a model server

Cephei uses the same Real-Time-Data (RTD) mechanism as market data providers. While a model is being evolved, desktop/terminal market-data subscriptions can be used without the need to invest in server subscriptions, including price contribution.

When a market is being developed, considerable savings can be made by using cheaper desktop/terminal data licences.

Excel for back-testing

A common challenge when transferring Spreadsheet models to Server applications is testing that models remain the same. Back-testing is often difficult because server subscriptions receive a much higher tick-rate than the desktop. When models are back-tested within Excel, the same market-data is always used, so differences can easily to identified.

Conversion of legacy spreadsheets

Cephei is open to extension, using either the bundled Quantlib recipes, finance libraries (e.g. FinCAD ) proprietary libraries or Excel Formula. Cephei builds a calculation graph – Excel formula can be translated on a cell-by-cell basis without the need to combine into imperative code blocks

Server applications

Cephei models can be generated directly within Excel to source code that can be compiled and deployed either as a component, or to a micro-service that uses an event bus to feed results to risk and reporting systems.

As trade volumes increase Excel hosted models can be quickly re-hosted to servers for high availability and performance.

Summary

Cephei is a good technology for funds that want to start with desktop models without limits on growth. The open-source core does not require subscriptions for proprietary models to continue as long as needed