AUTOMATED CALCULATION OF MARK-TO-MARKET FOR EXOTICS BOOKS BY GRID COMPUTING TECHNOLOGY

Abstract

This work caters to the need for automation of calculating Mark-to-Market (MTM) for exotics books by grid computing technology. Currently these calculations on Tempest System involves a lot of steps like sorting the desired data from the trade sheet, running conversions to convert the trade formats to the Tempest input format etc. And since the exotic books normally have thousands of trade entries, running the calculation on Tempest would normally take hours to complete. The solution designed to solve this problem is to make an independent system which can take the trade sheet file generated by Murex as an input from the trade dump, than run the calculations on grid using the Tempest pricing tool and the FABS market data set and show the results on the Excel sheet in the same format as Tempest does.