Taking Analytics Further with Real-Time Pricing and Event Stream Processing
Mounting regulatory and compliance pressures on capital markets are driving the need for more frequent margin calculations and risk reporting. Exchanges, broker/dealers, buy side and sell side firms alike are being challenged to price and analyze risk across increasingly diverse and complex books of business; and to do so in as close to real-time as possible. High transaction rates, continuous query and low latency requirements continue to drive data volumes higher making traditional database technologies impractical for storing and processing such requests.
To meet the evolving market demand, many organizations are turning to Stream Processing technologies and Complex Event Processing (CEP) engines, as a potential solution for analyzing risk, performing complex, real-time calculations and delivering the results to valuation systems and derivative trading engines in a cost effective and reliable fashion.
Real-Time Pricing and Analytics
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Numerix has partnered with StreamScape to enable real-time Pricing and Risk Analytics of Cross-Asset derivatives using Event Stream and Complex Event Processing technologies. Users and applications can now leverage Numerix CrossAsset to structure, price and hedge any asset class, from vanillas to exotic derivatives in real-time. Sophisticated calibration definitions and advanced simulation methodologies are also provided across the industry’s largest library of models. Using the Numerix application platform, users may structure and test their deal models in Microsoft Excel, then deploy the models as Pricing Services in the StreamScape financial application fabric for scalability and global access. Data models and templates may be updated and re-calculated in response to changing market conditions, based on streaming market data or critical business events presented by a CEP engine, giving users full access to the computational power of a service grid and cross-asset capabilities of the Numerix platform, while meeting the high performance requirements of real-time applications. |
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The offering provides the following options and benefits:
- On-Premise Service Grid: Allows clients to model, deploy and manage real-time pricing services within their enterprise.
- On-Demand Services: Alternatively, takes advantage of a cloud application platform for hosting real-time pricing services.
- Integration Made Simple: Integrate with Market Data and Trading System via Service Packs and a standards-based Framework.
- Extensible Analytics: Extend pricing capabilities with custom Analytic Services, Complex Event Processing and Web API.
- Management and Control: Customizable, web-based dashboard for deployment and management of pricing services and deal models.
- Historical Data Services: Store and access historical data for advanced analytics and risk management.
How It Works
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StreamScape's service engine extends the Numerix application workspace by providing logic hosting, event stream processing and data caching services based on advanced, high performance transactional data collections such as Maps, Arrays (Time Series), Event Tables and Queues. Changes to application data space objects generate events that can be processed by other applications. The Service Application Engine™ caches Numerix pricing and risk analytic results such as value at risk, greeks and aggregate views in memory for fast access by trading systems. Alternatively the engine can present price information as value-added data streams to applications and Complex Event Processing engines such as Sybase/Aleri, StreamBase or Progress/Apama for further analytical computation. Numerix pricing services are hosted in a standards-based infrastructure designed for rapid application delivery and provide access to analytics via messaging, query tools and web based clients. The service engine provides integration to market data, trading systems as well as access to data models and objects that define deals. |
Contact us for additional details or questions about the offer at sales@streamscape.com.
About Numerix
Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. Numerix offers clients a highly flexible and fully transparent framework for the pricing and risk analysis of any type of OTC derivative financial instrument. From vanillas and “semi-exotics” to bespoke derivatives, structured products and variable annuities, Numerix allows users to calculate prices and manage risk using any data set. Since its inception in 1996, over 700 clients and 50 partners across more than 25 countries have come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. With offices in Australia, Beijing, Chicago, Dubai, Hong Kong, India, London, New York, San Francisco, Paris, Singapore, South Korea, Tokyo and Vancouver, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines. For more information, please visit www.numerix.com.