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XVA Desk Development

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Background


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.

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