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1.

MX CVA/PFE Project for Front Office


Analysis of single integrated platform, MX.3, for trading, risk management and
processing. against the deployment of a standalone Risk Engine and PFE/CVA
calculator
Analysis of Managing Credit Data with the focus on Counterparty hierarchies,
netting & collateral agreements which are shared with the MX Limit Controller
and MX Collateral Manager.
Analysis and Implementation of the CVA Calculation Engine with focus on the
following:
1. Model Calibration
2. Risk Factor Evolution
3. Trade RevaluationExposure
4. CalculationCalculation of Unilateral CVA and Bilateral
5. CVA Sensitivities
Running CVA Preview on proposed new trades
Identifying the requirements and challenges of implementing counterparty
credit risk (CCR) framework in Murex
Obtaining benchmark results for a batch CVA/PFE EOD computation and CVA
Sensitivities (DV01, DV02, FX Delta, FX Gamma, CR01) using trades supplied by
client
2. Business Analyst project with Murex Deal Entry for the following
instruments:
Split EUR /USD
Reverse Floater
Trade Cycle for IRD
Loan Deposi MMRoll-Overs
Murex sell-down procedure in Murex
ABS/MBS Structuring
Range Accrual Swap
Constant maturity Swap
Quantos
Structuring Coupon Bonds
Call Deposit Life Cycle
CDS

3. Murex MLC Analysis , Development in the following areas:


Dynamic Table Configuration
Collateral Management (including Collateral booking)
Collateral Datasets
Data Extraction Report Batches
Collateral Properties Configuration
Collateral Date Function
MxMLExchange Workflow
Margin Call Validation from the OSP
Call Deposits
Limits Monitor View Settings
Risk Measure Display Settings
Limit Alerts
MxMLExchange
MLC Real Time Workflows
Auto-Comment
Groups Contribution Mode
Trade Status
Amendment Status
Processing script impact
Properties
Counterpart
Countries
Instruments
BO:Applying UDF Loan Type
BO:Extensions - User definable tables - Structures
www.teknoquants.com MX Architecture
Murex SME Architect, Developer and Technical Lead in the following areas:
Loans in Murex Avaloq Import Workflow

OSP
OSP Monitor Setup
OSP View Creation
OSP Rights
Margin Call Validation from the OSP
market data
automated trade entry workflows for Bloomberg, Reuters, 360T, UBS,
EBS
. MX.3 BO
Clearingworkflow modifications
Deal Life extension by restructuring
Post Trade workflows: LCH Upload
Create new user groups
FX Swap Eval Formula
eTradepad
LTS Processing Scripts
Formula Creation
Required Tasks
Linking the Workflow tasks
Document Setup
Workflow activation
LRB Monitor Setup
LimitsView Creation
MLC Rights
Datamart Report Configuration
LRB Report Extraction
Datamart Extraction
Static Data Sync Tasks
Contributors

Bloomberg Import Workflow


Implementation of various routines for Securities and Trades
Limit workflow configuration in the exchange space to process limit
changes, format the details into a document that can be stored as a record, and
send to the OSP for validation

Datamart Experience
Datamart Report Configuration
Datamart Extraction
Introduced Processing Script MLC_BF_LRB_REPORT_1feeds data into Datamart
table
I created Datamart report for the credit curves assignments for EOD and
Intraday

Developer role in MLC Configuration


Static Data
Limits Structure
Group and Time Configuration
Limits Parser
Formulae Types and Definition
Implementation of Various Risk Types
Replacement
Issuer
Settlement
Limits Management
Default Limits and Limit Management
Engines
Limit and Risk Monitoring
Limit and Risk Reporting
MLC Advanced Configuration
Advanced Static Data

Matrices
Advanced Limits Parser
Netting and Horizontal Columns
Advanced Limits Management
Server Property Management
Mx MLC Workflows
Transaction Details
Advanced Risk Configuration Options
Advanced Limit and Position Monitoring and Reporting
Automation
End of Day
Risk Computation
Limits Re-Calculation
Mx/MLC: Real Time versus End Of Day
Troubleshooting
Users / Groups / Rights Administration

teknoquants.com project experience tuning the Sybase ASE server as performed


in the following activities:

Configuring proper page size


teknoquants observed that larger page sizes can improve performance as
ASE can
access more data each time it reads a page.

Selecting the proper layout for the Sybase devices


1.

teknoquants observed that using raw asynchronous disk IO on character


devices is the best performing alternative, because it requires no particular
configuration

2.

Tempdb devices: minimize lazy writes to improve performance

3.

Insure Tempdb size doe not exceed cache size

4.

DirectIO should be of

5.

To improve performance, a data cache can be configured and bound to


bound to the database or database objects to reduce spinlock contention and
keeps the tables in cache

Configuring the appropriate number of ASE engines


1.

teknoquants observed that to increase performance, it advised to keep


ASE engines busy within a range of 50 percent busy and 80 to 90 percent busy.

Eliminating data-access contention


1.

To reduce data cache contention and increase performance,


teknoquants added cache partitions which separates the cache into partitions
wherby each partition is protected by its own spinlock.

Tuning server-configuration parameters


1.

In order to match user query demands with the correct optimization


techniques,teknoquants configured the appropriate Optimization goal from a list
of four options including:

Fastfirstrow

Allrows_oltp optimization

Allrows_mixed optimization

Allrows_dss optimization goal


2.
teknoquants chose an optimization goal based on the complexity of
the queries of my client's application

Performing database-level tuning and Tools

Log I/O size


1.

teknoquants observed that creating an 8 KB pool for the transaction


log can greatly reduce the number of log writes.

sp_sysmon to monitor overall performance


teknoquants used the Application Tracing feature which was useful to output
to a file
teknoquants used Sybase Control Center through a web-browser

teknoquants.com performed Murex optimization and tuning to improve


performance with the following

Dynamic creations, as used in Mreport reports or extractions


Datamart feeders / batches of feeders
SQL queries from within filters, or externally in surrounding environments
scripts and interfaces
Payment processing / matching
MxML exchange (architecture parametrization and JVM tuning)
Trade processing and import
Confirmations creation

teknoquants.com performed the following activites to save space and enhance


performance
Purging market data while allowing archiving and restoration of market data at
future times
Purging flow document history
Purging audit trails
Purging workflow history and data dictionary history

teknoquants.com performed additional application level activities which had a


positive efect on performance
Applied templates to generators, by matching their patterns thus reducing
generator instances
Removed unused and unreferenced generators
Netting of trades, to aggregate positions, implementing netting contraints
where applicable
Purged trade data, after capturing and storing their relevant P&L (logical and
physical purge)

teknoquants.com performed the following tasks which were found to be


appropriate in High Frequency Murex trading environments when closing out or
reducing positions with counterparties due to risk ofsetting
aggregated positions coming from upstream trading facilities

reduced processing overhead in workflows


Fine-Tuned of curve calibrations forOIS discounting and custom convexity
adjustments

teknoquants.com Datamart /Report Developer Projects

1. teknoquants.com configured Datamart to extract the revalued deal


information from MX.3 so that MLC can use this information as part of its EOD.

2. teknoquants.com configured the following To perform the MLC Risk


Computation,

A set of Dynamic Tables to generate deal information from MX.3


A set of Datamart Extractions
A set of Datamart Table feeders
A set of Datamart Batch of extractions
A set of Datamart Batch of feeders
A set of Processing Scripts

3. Datamart Report Configuration

4. Introduced Processing Script MLC_BF_LRB_REPORT_1feeds data into Datamart


table

5. teknoquants.com created Datamart report for the credit curves assignments


for EOD and Intraday

Changed SQL in datamart extractions for the conversion of Margin Amount for
LN_BRs so that it will be calculated manually inside the SQL
Deactivated check box Generate acknowledge file in Parameters of batches
of
Datamart extractions C_E_CMOCOLMV_BE and C_E_CMOMVTID_BE
1.

Made changes on Report Layout in Datamart-Viewer

teknoquants.com developed a new report which must run in EOD.

6. teknoquants.com developed a New Datamart-Report to be run in EOD with:


Processing Script
Batches of Datamart Extraction
Datamart extractions

7. teknoquants.com created Datamart Cap/Floor report Datamart report with


total 47 columns and Cap /Floor exotic Fields and sensitivities details

8. teknoquants.com corrected the Datamart extraction sql request


C_E_NY_BO_TODDEAL_EXT_SQL to execute the report for the correct date and
made correction to the portfolio filter in the Batch
of extraction
C_E_NY_BOTOD_BE to include the 3 correct portfolio nodes

9. Corrected Datamart Swaption Volatility Report.


Clean up steps:
Before importing the new changes the old in consistent objects from the
Mx3.Prod needs to be deleted.
Below is the sequence of the deleting the objects
Processing scripts: Config?Infrastructure?Processing center?Scripts definition
- C_E_MD_OSWP_VOL_F_PS
- C_E_MD_OSWP_VOL_E_PS
Batches of table feeder and Extraction

10. teknoquants.com replaced existing MReports for market data (Zero rates)
with DataMart objects based on Market data viewer.

11. DataMart Report modification:


a. Replaced Field DC_TRNID by Field DC_TRDNB in Report Layout, horizontal
Fields and Table Relations

b. Added new Table Relations to UDF-Tables to display field UDF Clearing


Status in Report Layout as last column

c. Deleted of old Report-Objects regarding XXXPAYSWIFT-Report:


(1) Deleted Batches
(2) Deleted Output Devices
(3) Deleted MReports incl. assigned Dynamic Tables.

12. teknoquants.com created a new Datamart report for the credit curves
assignments for EOD and Intraday. These included:
UC4 changes
Move scripts changes
13. Adaption of Rights to get access
teknoquants.com modified: Data extraction->Datamart->Rights templates

14. Changes to the existing M-report


1 teknoquants.com navigated to < Extensions?All?Import/Export wizard >

teknoquants.com performed the following changes:


1) teknoquants.com added field Group (after field MurexID)
2) teknoquants.comI added field Counterparty Code (after field Kontrahent)
3) teknoquants.com added the following fields (after field Purchase date):

15. Corrected DM Eod with verification:


a, teknoquants.com corrected the extraction C_E_ZD_OPTEXR_EXT nd
extraction SQL request C_E_ZD_OPTEXR_EXT_SQL to include the swaption deals
with as of today in the report.
b. Import Verification

Go to Config ? Data extraction?Datamart?Datamart extractions

16. Integration of a an existing report into a batch with verification


Go to < Extensions->All->Import/Export wizard >

17. Modification of Report Extract final field changed

18. Adaption of horizontal fields to retrieve correct Counterparty UDF Values

teknoquants Murex API Development (completed projects)

Murex Integration Analysis and Development for Ubuntu 12.04 based Single
Dealer Platform in the following areas:

CEP development in java for liquidity aggregation, rate formation, client


tiering, dealer intervention and smart order routing

HTML5 based front end application for Liquidity FX

Java Message Service (JMS) API enhancements to extend the functionality


of JMS-compliant message brokers.

Streaming for FX Aggregation

Streaming for FX Market Data Distribution

Streaming for FX Quoting and Price Distribution

Murex MxMLExchange SCRUM Structured Project tasks in the following areas:

Business Analysis and XSL development used to transform Murex MxML to


FpML and CRD XML formats.

Business Analysis/Development used in Integration of JMS with Murex


MxML Exchange:
Business Analysis /Development of Java XSL extensions used in handling
message properties

Business Analysis of imported contracts via message bus to the Mx Trade


Repository

Business Analysis of imported security data for message bus to MX.3.1


exchange

bus

Business Analysis of exported enhanced MxML contracts to the message


Business Analysis used in the Development of FPML Interfaces from Murex
and Datamart to in-house confirmation and settlement systems

Business Analysis and development of Murex MLC limits management


component of the MX.3 framework with Java and Oracle databases

Murex java Business Analysis /Development of Confirmations, MxML


Exchange, Workflows and Back Office Modules.

Business Analysis /Development used in development of confirmations for


Equities, IRD, FX, Credit and Commodities for Mx 3.1

Business Analysis of MxML Exchange, Post-Trade, Mx formulas, XML, XSLT

Business Analysis of fworkflows.

Business Analysis of Settlement Instructions.

Business Analysis applied toUDF creation/modification.

Business Analysis of Back Office support

1. Murex Developer /Analyst in the following areas

Delivered complex cross-asset MxML functionality front to back on Murex


3.1 for Commodities, Equities, Credit, Derivatives, Foreign Exchange and Interest
Rate product trading:

MX 3.1, Back Office Modules

Confirmations, MxML Exchange, Post-Trade, Workflows

Java, Jemmy, Spring, HTML, CSS, JavaScript

Oracle

Subversion

2.Murex Caps and Floor volatility surfaces

Smile curve structure

Atthemoney and smile links

3.Murex Swaps

PnL on Trade Date

PnL on Settlement Date

PnL on Settlement plus 1

PnL on Maturity Date

4.Murex Swaptions

PnL on trade date

PnL on settlement date

PnL on Maturity

PnL after exercise


PnL on Swap

5. Murex Volatilities
o

Volatility surface

Liquidity

6.Murex Market Parameters

Interest Rates

Rate Screens

Foreign Exchange
Swap Points Panel

teknoquants.com projects

Murex java development in Confirmations, MxML Exchange, Workflows and


Back Office Modules.

java murex development in confirmations for Equities, IRD, FX, Credit and
Commodities for Mx 3.1

MxML Exchange, Post-Trade, Mx formulas, XML, XSLT

Modification of workflows.

Settlement Instructions.

UDF creation/modification.

Back Office support

Development in the following MLC components and api calls

MxMain.java

addDeal()
addDeals()
removeDeal(),
removeDeals().

XLrb.java

XCtp.java

XUtil.java

XResult.java

XMLWriter.java

XMLContainer.java

XMLRecord.java

XMLFile.java

Analysis in the following Market Parameters Screens for FX:

FX Spot

Swap Point Panel

1. Murex Developer /Analyst projects in London in the following areas

Delivered complex cross-asset MxML functionality front to back on Murex


3.1 for Commodities, Equities, Credit, Derivatives, Foreign Exchange and Interest
Rate product trading:

MX 3.1, Back Office Modules

Confirmations, MxML Exchange, Post-Trade, Workflows

Java, Jemmy, Spring, HTML, CSS, JavaScript

Oracle

Subversion

2.Murex Caps and Floor volatility surfaces

Smile curve structure


Atthemoney and smile links

3.Murex Swaps

PnL on Trade Date

PnL on Settlement Date

PnL on Settlement plus 1

PnL on Maturity Date

4.Murex Swaptions

PnL on trade date

PnL on settlement date

PnL on Maturity

PnL after exercise


PnL on Swap

5. Murex Volatilities
o

Volatility surface

Liquidity

6.Murex Market Parameters

Interest Rates

Rate Screens

Foreign Exchange

Swap Points Panel

7.Murex MLC

8.Murex P&L

9.Murex MX3

10.Murex Deals Management

11.Murex Configuration

12.Murex Equity pricing

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