XVA Desk Development



We are supporting a global investment bank in Canada to develop their derivatives valuation portfolio systems on the client’s XVA desk in Toronto. The client required a technical resource to extract, handle and then convert the data to improve the performance of the derivatives calculations engines.

What We Are Doing

  • Integration and provision of Market Data feeds from a multitude of sources into the XVA platform.
  • Initial design of a global schema to encapsulate all types of financial data to standardise disparate types of data flowing into XVA.
  • Creating an end-of-day and intraday set of processes using a Java stack, consisting of Nifi, Groovy, Java, Avro, ElasticSearch, Redis and SQL Server.
  • Analysis and development of data feeds to take trades from either the source systems or the central warehouse.
  • Resolution of ambiguities and discrepancies via either code enrichment or negotiation with stakeholders.
  • Interaction with other Development teams, Business Analysts, and Quants.
  • We are now putting in place suitable non-functional supporting software to ensure a high automation, low support STP approach to data transmission.

Get in touch

Send us your Brief or Requirements

We understand that projects, cultures, budgets, engagement models and expectations vary.  Tell us how we can help you deliver on your requirements.  


Contact MThree