Develop an analytical pricing tool to aid traders / brokers up to date pricing for the latest FX and money market trades, covering FRA's IRS's OIS, and Forwards

Development of a multi instrument pricing tool to calculate FRA’s IRS’s, OIS, Basis Swaps and FX Forwards for standard periods and broken date periods, to meet today’s trading environment

The system developed included a range of tools that were used on the trading platform including broken dated pricing; swaps modelling and cash flow analysis

Each currency provided the trader with a standard yield curve allowing prices to be shared amongst the trading floor

Cash and FX arbitrage models were developed to allow brokers to take advantage of any discrepancies in the market with regards to pricing between currencies and instruments for both standard periods and broken dated periods

The system allowed sentiment’s to be applied to any prices if the broker was feeling that the price was not a correct reflection of where the market currently was

To aid the trader/broker in monitoring the forward prices were mapped in a graphical representation, allowing the broker to shift the whole curve in a convenient manner

Prices were periodically exported and updated to vendors as a reflection on the pricing movements

The system implemented a templated mechanism to allow for easy addition of new features, if a broker or trader required a new screen. This cut down on the number of spreadsheets in use on the floor while still giving flexibility to the brokers to create new bespoke screens