this makes me believe you never were in a quant shop, sorry.
At least if your goal is making money.
I think it can be a fun project to make an engine, and try to make models, together with some form of ingestion pipeline and finally solve and calibrate the models. Try some simple products, and see how close you can get to real world prices.
Making pricing/risk engines are in my opinion somewhat close to game engines even through that the domain is so different.
I think it can be a fun project to make an engine, and try to make models, together with some form of ingestion pipeline and finally solve and calibrate the models. Try some simple products, and see how close you can get to real world prices.
Making pricing/risk engines are in my opinion somewhat close to game engines even through that the domain is so different.