Go beyond the basics
From the team that brought you Smart Curves comes a revolutionary new way to manage your Forward Curves from building through to reporting.
This blog explains the problems that curve management solves and gives a functional overview of all aspects of what curve management contains.
Read on to find out more.
Introduction
A curve builder allows you to build forward curves, but this is only the starting point for curve management.
What problems does it solve?
- Curve build reliability
Curves fail to build for any number of reasons
- Curve operations and monitoring
Data sometimes arrives late or incorrect
- Bad data automated validation
When you have hundreds of curves, it is impossible to manually check every one before exporting
- Four-eye curve approvals
For certain critical curves, it is always best to get someone to manually check the data
- Managed exports to downstream/internal systems
Ensuring curves are exported and subsequently imported into the external system
Curve Management Stages
Building
Event Driven
- Understands curve ancestry
- Triggered when data is ready
Build System Independent
Use your favourite language to build curves
- ODSL
- Java
- .NET (C#,F#,VB)
- Python
- MATLAB
- R
- JavaScript
- Scala
- Perl
- Go
- Excel
Build event driven, scheduled or manual
Substitution Rules at Cut-Off Time
When curves fail to built or their input data does not arrive, at a pre-determined cut-off time, it will automatically create a substitute curve.
- Use last built curve
- Define custom substitution rules
Substituted curve using last available curveBuild monitoring
Quality Checks
Automated Checks
- Use standard/custom checks in ODSL, e.g.
- Missing values
- Zero values
- Gaps
- Change threshold breach
- Minimum tenors
- Incorrect structure
- Checks triggered when curve is built
- Checks can also correct curves
Manual Approvals
- Create approval groups of people with authority to approve curves
- Lock-in APPROVED version of curve for export to downstream systems
Export Groups
Configure Scheduled Exports
- Define export scripts using ODSL
- Add curves to export configuration
- Schedule scripts to export curves
- Use message queues
- Determine which curve version to export
Downstream System Reporting
- Report export status back to curve management
- Full round-trip status reporting
Multiple Systems per Curve
- Add many export configurations to a single curve
Curve Analysis
Reporting
Conclusion
Next steps
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