Case study curve & volatility banking luxoft for top10 global investment bank
For more information about Luxoft, visitwww.luxoft.comwww.luxoft.com/financial-services/case studyCurve & Volatility Marking and MarketData Distribution FrameworkSummary26.09.2012System is the second generation of strategic market data processing frameworkused by Traders and focused on curves and volatilities marking as well as historicaldata collection and storage.uu Client: TOP10 global investment bankuu Business Area: Global Market Data Distributionuu Asset Classes: Commoditiesuu Technology Set: MSSQL, C#, C++uu Integration: Reutersuu User Profile: Tradersuu Geography: US, UKuu Relationships Status: Ongoing ODC, T&M basisuu Services Provided: Developmentuu Team Size: 3 team membersuu Duration: 1+ years
Business ChallengeTo develop the business Bank needed to create a framework which wouldprovide end-to-end services from a Traders GUI for curves and volatilitiesinput as well as connectivity to market data providers and to high-performance push- and pull-based access services.The adapters for existing clients’systems with extensive storage andcaching mechanisms along with the historical data collection andstorage were requested to support the business in the market data andcommodities trading domain.02Luxoft - Case StudyLuxoft Delivered SolutionLuxoft has successfully augmented Bank Commodities IT team with highlyskilled .NET and SQL developers who possessed wide knowledge withinthe recent .NET technologies and understanding the commodities tradingbusiness domain.Luxoft team set up the development process that allows for distributedimplementation of System with the personnel residing in London andMoscow and the project ownership and leadership being in London.The implemented solution allows traders to create various curves (includingvolatility curves) based on provided market data such as rates, currencies,commodities prices etc., as well as on data from other sources, whichfacilitates effective and convenient marking to market process. Integrationwith Reuters and extensive storage and caching mechanisms for historicaldata collection and storage were also implemented.Customized user interface and diversity of data input for curves modelingmake the application extremely flexible. The developed push- and pull-based access services enable traders to upload and download curves anddata from/to each other.While developing the System Luxoft team, worked effectively with the teamin London, contributed to System architecture and design and deliveredtimely solutions to the arisen problems.
03Luxoft - Case StudyCustomer FeedbackBenefitsLuxoft engagement in the project resulted in the Bank team getting thecore staff of highly skilled .NET and SQL developers with good knowledge ofthe business problem domain. Luxoft team is capable for efficient deliveryof the project solutions in close collaboration with London-based projectowner. The system was developed and implemented in full accordance tothe schedule. The Bank has been provided with requested marking tool andmarket data distribution framework which fully meet its business needs.Detailed feedback is available on request.