Case studies

Integrated suite of real-time pricing applications

Year of implementation
Industry
Financial Services & Insurance

Gatelab is an Italian fintech company that is part of the Euronext Group. It develops trading and market access solutions for global financial institutions

An integrated suite of real-time applications for pricing and market-making of OTC derivatives, designed to optimize interaction between the Sales and Trading desks. The system is based on a proprietary quantitative library (BDT) for multi-currency bootstrapping of yield curves and the calculation of risk profiles. Through integration with interdealer platforms (ION, Bloomberg, TradeWeb), the suite manages complex RFQ flows for IRS, Credit, and Structured Credit products, while ensuring the automated submission of market parameters (MID) to the major clearing houses for the Single Name CDS segments.

BDT: A financial library that enables real-time pricing of customized hedging products, while simultaneously reducing operational risks and improving efficiency. It includes a Bootstrap library for yield curves used in the aforementioned pricing. Bootstrap: A real-time application for bootstrapping yield curves for various currencies (USD, EUR). The output curves are used by other applications such as IRS and CDT. Plans are in place to feed data directly into BDT, replacing the Bootstrap task currently built into it.

IRS: Pricing of customized IRS (Interest Rate Swaps) on the TradeWeb market, in response to RFQs (Requests for Quote) received from ION.

CDT, STC, CDS: Real-time pricingapplications for the markets of instruments, credit, structured credit, and credit default swaps, respectively. Each application has its own pricing model, handles a different type of data, and serves a different trading desk.

Single-Name CDS: A real-time application for reporting to central counterparties (so-called clearing houses). Specifically, for a series of single-name CDSs issued by various entities, all MIDs (Pillar 0M, 6M, 1Y, 2Y, 3Y, 4Y, 5Y, 7Y, 10Y, 15Y, 20Y, and 30Y) of the respective credit spread curves. 

Approach and methodology

Creation of a microservices architecture specialized by type of financial instrument, each with its own pricing model and integration with specific data providers and execution systems. Modularity as a guiding principle to reduce operational risks and enable evolutionary and independent actions.

100
%
Accuracy of MID Calculations and Contributions
100
%
Pricing Automation and RFQ Management
100
%
Sales-Trader Workflow Optimization

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