After reading through this, I was reminded of the time a couple months before the Lehman went belly-up and then markets dove.

As the guy running tech for the Rates and Credit business for the then-named Merrill-Lynch, I would take various pricing and hence trading strategies and verify if/how they were implementable in our real-time pricing framework and implement them. There was no way of not doing what was asked. It was a DAG framework which permitted programming new/reusing specific nodes and routes through the graph execution to derive a price,etc.

The document I was given was just over 200 pages long. I am eternally grateful to the leaders of Lehman for doing something as spectacularly stupid as to cause the crash. They spared me having to build that pricer.

And now we come to this piece of work: good luck and let's hope something similar will save you.