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case study

curve & volatility Marking and Market data distribution FraMework

Summary

26.09.2012

System is the second generation of strategic market data processing framework used by Traders and focused on curves and volatilities marking as well as historical data collection and storage.

u Client: TOP10 global investment bank u Business AreA: Global market Data Distribution u Asset ClAsses: Commodities u teChnology set: mSSQL, C#, C++ u integrAtion: reuters u user Profile: Traders u geogrAPhy: uS, uK u relAtionshiPs stAtus: Ongoing ODC, T&m basis u serviCes Provided: Development u teAm size: 3 team members u durAtion: 1+ years

BuSineSS ChaLLenGe

To develop the business Bank needed to create a framework which would provide end-to-end services from a Traders Gui for curves and volatilities input as well as connectivity to market data providers and to high-performance push- and pull-based access services.

The adapters for existing clients’ systems with extensive storage and caching mechanisms along with the historical data collection and storage were requested to support the business in the market data and commodities trading domain.

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LuxOFT DeLivereD SOLuTiOn

Luxoft has successfully augmented Bank Commodities iT team with highly skilled .neT and SQL developers who possessed wide knowledge within the recent .neT technologies and understanding the commodities trading business domain.

Luxoft team set up the development process that allows for distributed implementation of System with the personnel residing in London and moscow and the project ownership and leadership being in London.

The implemented solution allows traders to create various curves (including volatility curves) based on provided market data such as rates, currencies, commodities prices etc., as well as on data from other sources, which facilitates effective and convenient marking to market process. integration with reuters and extensive storage and caching mechanisms for historical data collection and storage were also implemented.

Customized user interface and diversity of data input for curves modeling make the application extremely flexible. The developed push- and pull-based access services enable traders to upload and download curves and data from/to each other.

While developing the System Luxoft team, worked effectively with the team in London, contributed to System architecture and design and delivered timely solutions to the arisen problems.

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CuSTOmer FeeDBaCK

BeneFiTS

Luxoft engagement in the project resulted in the Bank team getting the core staff of highly skilled .neT and SQL developers with good knowledge of the business problem domain. Luxoft team is capable for efficient delivery of the project solutions in close collaboration with London-based project owner. The system was developed and implemented in full accordance to the schedule. The Bank has been provided with requested marking tool and market data distribution framework which fully meet its business needs.

Detailed feedback is available on request.

about luxoftLuxoft, a principal subsidiary of iBS Group, is a provider of advanced application and software engineering outsourcing services for global and regional enterprises. Luxoft builds partnerships with its clients, such as Boeing, iBm, Deutsche Bank, uBS, harman, avaya, alstom, and Sabre, based on the culture of engineering excellence, innovation, and deep domain expertise. Luxoft offers international delivery capability through its network of state-of-the-art delivery centers in north america, eastern europe, and asia. Luxoft`s customers benefit from the right mix of technology skills, industry knowledge, proprietary processes and methodologies, and a choice of engagement models.

For more information about Luxoft, visit www.luxoft.comwww.luxoft.com/financial-services/

© 2012 Luxoft