Excelian provides a variety of development and support facilities for our client’s in relation to both their in-house developed and niche vendor systems with a specific focus on trading and risk management solutions. Whilst our work in this area has traditionally been performed ‘on client site’ we are undertaking an ever increasing number of ‘off-site’ and outsourced projects located in the Excelian development centers in London and Johannesburg.
Outsourcing:
Outsourced and ‘off-site’ delivery is one of the most cost effective ways of delivering development or support services to our clients whilst providing local and accessible teams with fewer cultural or time zone boundaries than many ‘off-shore’ solutions.
Typical outsourced projects for Excelian have included: custom reports writing, grid managed support, Murex support and configuration, developing a confirmations system, configuration of Finance Kit, model parallelization and AVS scripting.
Generic development projects have been undertaken in Java, C/C++, Perl, PHP and Python. Application development and support is centered around Murex, Wall Street Finance Kit, Openlink, DataSynapse and Platform technologies.
Interfacing (upstream and downstream)
An important aspect of any systems integration is the development of interfaces. Excelian’s expertise with such developments has been built up from the 60+ projects we have completed, most of which have some element of interfacing. The types of interface that Excelian has produced for clients can be classified by data format and transport mechanism:
Data format
- XML (standards such as fpML or proprietary)
- Flat-file text (csv, fixed width or other delimited formats)
- Binary (arbitrary encodings)
Transport
- MQ Series
- ftp, rcp (non-secure)
- ssh, scp and other secure transports
- SQL query
Model Development:
Excelian’s experience of exotics configuration and pricing integration at several clients, combined with our strengths in Grid and HPC, means we can offer clients a full range of model parallelization, porting and integration services. For practical use of the mathematics in financial systems, we are well aware that achieving a good price is a necessary but not sufficient condition. In general it is also required to output and verify risk factors (i.e. the Greeks, and sometimes other outputs such as Digital Risk). Efficient computation (and/or use of HPC solutions) is also part of the equation.
Below are sample projects to illustrate Excelian’s capabilities:
- Mathematical review and comprehensive testing of hybrid stochastic/local volatility model
- Development of a prototype method for the calculation of internal haircuts for collateral securities (repos, tri-party repos)