Deployment of a unified interface for pricing of FX and Equity Derivative products, enabling significant efficiency, for a large Europe based Investment Bank
Client: A Europe based large investment bank
Objective
- Develop a single interface for pricing FX and Equity Derivatives structured products
Challenges
- Multiple pricing systems and inconsistent market data feeds
- Different naming conventions and formats of the data across Pricing and booking systems
CRISIL's solution
- Designed and developed highly scalable, customizable, XML template-driven framework for rapid development
- Developed workflow support, PV, Greeks, market data manipulators, straight-through booking to Murex/Imagine, Chat, Transitions, Archiving, REST-based access to trade data also used for effective reporting
- Developed risk farm interface for complex calculations
- Used technologies such as WCF C#.NET and Oracle Coherence Cache
- Provided BAU support in pricing and generation of risk numbers
- Provided customized and auto-generated term sheets, which significantly improved efficiencies
Client impact
- Reduced development effort for exotic products and vanilla strategies using a template-driven framework
- Resulted in effective reporting of the trade data due to auto generated terms-sheets
- Reduced the time to market the new complex exotic product to less than 80 man hours, on average
Questions