Historical Surveillance of Market Conform Prices for Derivative Trades

Project Description

Check for market conform prices of backdated derivative trades
Implementation of a database for calculating historic yield and vola curves (from swaption prices, caps&floors, smiles)
Check for market conform prices for backdated bond trades by pricing with yield and spread curves
Implementation of a database for storing historical intraday rates, yield and vola curves (from swaptions, caps&florrs, smiles)

Financial Department

Trading Department,
Risk Controlling,
Market Data

Financial Instruments

Bonds,
Options,
FRAs,
Swaptions,
Caps & Floors,
Interest Rate Swaps,
Cross Currency Swaps

Market Interfaces

Thomson Reuters,
Asset Control

Departments - Products

Front Office - Kondor+
Market Data - Asset Control
Market Data - Thomson Reuters RMDS

Vendor - Involved Products

Asset Control Division - Asset Control,
Thomson Reuters - IDN Selectfeed,
Thomson Reuters - Kondor+,
Thomson Reuters - MCM Modul

Technologies

SQL,
Shell Scripts,
C++,

Project Description

Check for market conform prices of backdated derivative trades
Implementation of a database for calculating historic yield and vola curves (from swaption prices, caps&floors, smiles)
Check for market conform prices for backdated bond trades by pricing with yield and spread curves
Implementation of a database for storing historical intraday rates, yield and vola curves (from swaptions, caps&florrs, smiles)

Financial Department

Trading Department,
Risk Controlling,
Market Data

Financial Instruments

Bonds,
Options,
FRAs,
Swaptions,
Caps & Floors,
Interest Rate Swaps,
Cross Currency Swaps

Market Interfaces

Thomson Reuters,
Asset Control

Departments - Products

Front Office - Kondor+
Market Data - Asset Control
Market Data - Thomson Reuters RMDS

Vendor - Involved Products

Asset Control Division - Asset Control,
Thomson Reuters - IDN Selectfeed,
Thomson Reuters - Kondor+,
Thomson Reuters - MCM Modul

Technologies

SQL,
Shell Scripts,
C++,