IRIS Data module
This module facilitates data acquisition. External data are analyzed, processed and converted into an IRIS internal format. The module uses push technology, so incoming data is processed in real-time. The unification between external systems and the IRIS referential system is specified through mapping tables.
- Trade data IRIS provides an FPML adaptor for IR, FX and Credit vanilla instruments. The adaptor is continuously enhanced to support other asset classes. Client side extensions for all trade types and formats are supported through a dedicated API. A filtering layer based on trade characteristics is also available.
- Market Data IRIS supports either ZC curves or raw market quotes. For the latter, an internal stripper is being developed. For credit, considered the central risk, a default intensity generator from CDS spreads is available. An IRIS© table allows specifying the relationship between curves -or Risks-, so basis spreads are handled. A filtering or data clean-up layer is available.
- CSA IRIS handles all standard characteristics of Netting and Collateral agreements – Threshold, MTA …-. This key aspect permits an exhaustive list of client specified what-if scenarios.