Case studies

Mission-Critical Application Ecosystem

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 ecosystem of mission-critical applications for modeling and validating market parameters. The system integrates real-time and on-demand calibration engines for multi-currency yield curves and volatility surfaces (Swaption, Inflation, Capfloor), distributing normalized data via Kafka and Murex. It includes an Independent Price Verification (IPV) framework that ensures P&L integrity through systematic comparison of booked prices with those from external providers, while also enabling data contribution to Markit.

CurveBuilder: A real-time application for bootstrapping and contributing yield curves for various currencies (live: USD, GBP, JPY, HKD, AUD, SEK; planned: EUR). It takes real-time data as input from the Refinitiv data provider, performs bootstrapping using FE libraries (pdgLib with a Protocol Buffers data model), and publishes data to Kafka and Murex for use throughout Banca IMI.

VolatilityBuilder: Application for volatility calibration, marking, and pricing. Divided into subprojects: Inflation Calibration, Swaption, Bond & Futures Option, Capfloor—some of which are live, while others are scheduled to go live by 2024. It takes market data from various data providers as input, performs pricing using FE tasks (pdgLib data model with Protocol Buffers), and contributes to Murex. Pricing runs 2–5 times a day, on demand.

IPV: A tool used by the IMI Product Control desk for end-of-day validation of quotes and prices in Murex, and used by various desks to execute trades, in comparison with third-party data providers. The tool calculates P&L impacts for various asset classes (Forex, Commodities, Inflation, Bonds, Equities). It also enables IMI Bank to report the prices it uses to Markit for those same asset classes.

Approach and methodology

Development of modular real-time applications focused on specific asset classes or functions (bootstrap, calibration, pricing), with integration with market data providers (Refinitiv) and centralized publication on Kafka and Murex. Iterative approach: start with the major currencies, then gradually expand to other currencies and asset classes.

Enabling on-demand/daily pricing

100

Calibration of Interest Rate Curves

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