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
Sucess Dialog
This is added to your favourites.
Warning Dialog
This is already added to your favourites.
sorry something went wrong.
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
Request for services
Questions
Looking for high-end research and risk services? Reach out to us at:
