For more information about Luxoft, visit www.luxoft.com www.luxoft.

com/financial-services/

case study
13.09.2012

Risk tRade PRofit & Loss system Summary

Develop a system to monitor risk trade activity, providing real-time profit and loss (P&L) reporting against the market data for use by the banks traders and front office

u Client: a top ten global investment bank u Business AreA: multi-asset Class Trading, risk management, Front Office u Asset ClAsses: Equities u teChnology set: Oracle, Java, Hibernate, .NET, XmL, Proprietary messaging library u integrAtion: reuters, data warehouse, single stock and portfolio order management applications, pricing data system, static data storage u user Profile: Traders and sales traders, front office (100+ users) u geogrAPhy: Europe u relAtionshiPs stAtus: Ongoing ODC, T&m u serviCes Provided: Full cycle: Business analysis, Development, Qa/Testing, maintenance with Production support u teAm size: 3 team members u durAtion: 2+ years

BuSiNESS CHaLLENgE
To increase risk trade profitability and trader performance, the bank began an initiative to develop a real-time, pre-trade P&L calculation system to support privileged client requests for equity trading. The high-level business objectives for the new system included: u increase profitability by calculating P&L against real-time market data for improved trade analysis u Decrease trader bias through systemization of the calculations and analysis reporting u increase performance by automating the market data feeds u improve organizational efficiency and reduce operational costs through integration with downstream trading systems

LuXOFT DELivErED SOLuTiON

Luxofts development team gathered the business requirements and replaced the existing mS access application with a three-tier system architecture that would support all of the business objectives, as well as providing an infrastructure for improved stability, performance, and maintenance. The system developed to calculate risk trade profit and loss included functionality that exceeded the banks minimum requirements. Luxofts system provided the bank with the following key features to support and enhance their risk trade business: u automated, real-time capture of risk trades for the banks clients u user interface to manually extend of trade data, if needed u On-request calculation of P&L using vWaP data retrieved from the pricing server u automated calculation of vWaP value estimates for using current market price u Flexible, real-time reporting services for the available trade information and calculated P&L values u integration with the banks upstream and downstream trading systems u a robust three-tier application with dynamically updated C#.NET frontend, Java middle-tier, and Oracle database u a single sign-on (SSO) security subsystem
Luxoft - Case Study 02

Figure 1: risk Trade P&L System architecture

VWAP

DATA FEEDS

DWH

ASSETS, FX RATES

DB

MIDDLE TIER

GUI

EXECUTION EOD EXTRACTS

BENEFiTS
Luxofts solution provided the banks risk trade business with the following benefits: u Enhanced trader performance with a robust and flexible analysis and reporting tool u improved operational efficiency through integration with external market data and internal bank systems u Significantly improved system stability and data integrity u improved system performance to reduce the risks caused by data processing delays u Enhanced security with the introduction of an SSO model u Enhance profitability opportunities with real-time, automated reference data maintenance

CuSTOmEr FEEDBaCk
Detailed feedback is available on request.

Luxoft - Case Study

03

Luxoft, 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.com www.luxoft.com/financial-services/

about luxoft

2012 Luxoft