nobody cares about precision in financial calculations except for nerds. particularly areas like reporting tend to have significant errors, and not just sigma.
this is now a fintech anecdotes thread, but my first ever fintech job was part of a two man special priviledges team directly under a director of X at one of the sifis. we were supposed to cut across multiple departments and through red tape with the main goal if eliminating significant overhead in certain processes (we brought some multi-day multi-step calculations down to 8 minutes in one instance, 2 minutes in another, kept us on a vendor list for a very very very long time). i didn't know how things are done, so i used bigdecimal throughout, with a lot of precision and explicit rounding rules. i did back of napkin numerical analysis for at least inner loop code. we duplicated work done by other departments (!!!), things like instrument pricing, because we couldn't wait for their batch jobs to complete. at the end we were getting from slightly to wildly different results. it took a lot of conversations with business to realize that 1) our calculations were correct 2) for them to realize what the sources of errors were and where they were coming from 3) for everyone to just kind of go eeeehh not a big deal.
i wrote a translator for a subset of j/k to java bytecode using java asm, i was pretty proud of that system, because it allowed to express pricing rules in a what i thought was much more readable way, dynamic reload without restart, but man i am very very sorry for the developers who inherited that system.
this is now a fintech anecdotes thread, but my first ever fintech job was part of a two man special priviledges team directly under a director of X at one of the sifis. we were supposed to cut across multiple departments and through red tape with the main goal if eliminating significant overhead in certain processes (we brought some multi-day multi-step calculations down to 8 minutes in one instance, 2 minutes in another, kept us on a vendor list for a very very very long time). i didn't know how things are done, so i used bigdecimal throughout, with a lot of precision and explicit rounding rules. i did back of napkin numerical analysis for at least inner loop code. we duplicated work done by other departments (!!!), things like instrument pricing, because we couldn't wait for their batch jobs to complete. at the end we were getting from slightly to wildly different results. it took a lot of conversations with business to realize that 1) our calculations were correct 2) for them to realize what the sources of errors were and where they were coming from 3) for everyone to just kind of go eeeehh not a big deal.
i wrote a translator for a subset of j/k to java bytecode using java asm, i was pretty proud of that system, because it allowed to express pricing rules in a what i thought was much more readable way, dynamic reload without restart, but man i am very very sorry for the developers who inherited that system.