Case Study

The Requirement

Major European Investment Bank requires to trade and also fulfil its Fixed Income division quoting obligations for basis instruments listed in multiple electronic exchanges.

The Analysis

Starting from the main requirement and analysing current trader behaviour the following business constraints were identified:

Further constraints were identified by analysing individual markets:

  • Basis instruments are not universally identified. Each market uses its own naming conventions.
  • Names/Codes for basis instruments change every three months when futures roll.
  • A robust way is needed in order to be able to respond promptly and maintain the instruments when names/codes become available in the markets.

The Solution

Having collected all the constraints and having refined the initial high level requirement, it became clear that the major issue was the ability to correctly identify a basis instrument from its underlying bond across all markets.

A database was created which acted as a central repository holding all instrument mapping information. The actual mapping was implemented using PERL scripts given PERL's capability to handle text efficiently. PERL also offered an efficient way to integrate this mapping functionality using a UNIX/C++ API into the traders existing system, thus minimising traders' training time.

The project was completed by handing over to and training of the Trading Support staff.