OIS Discounting

OIS Discounting methodology in Summit proposed by GMS

Since the 2008 global financial crisis, the way the Market values derivatives’ future cash-flows has changed. This has lead to financial institutions adapting their discounting process and thus the valuation functions, the interest rate curves bootstrapping, the collateral management as well as their risk analysis.

GMS has extensive experience with implementation projects of the “OIS Discounting” methodology in Summit Front-to-Back workflow.

News

Yields

12 June 2015 news1

Press Release

20 April 2015 Misys_Logo_strap_90Black Global Market Solutions partners with Misys to provide additional European Treasury and Capital Markets project expertise

LIFETIME COSTS of xVAs

3 April 2015 The latest GMS newsletter about lifetime costs of xVAs

GMS work package includes:

  • Plug-in of external quantitative libraries taking the curves’ dependencies into account at bootstrapping time,
  • Functional setup of the system in order to fit with the new market standards in terms of rate quotations and curve definitions,
  • Risk indicators computation to reflect the trade’s new exposure ; technical optimizations to avoid performance issues,
  • Front-Office workflow enhancement for handling collateralized deals.

The GMS Project team produced a global solution to answer this challenging problem by providing developments, setup and consulting on Summit.

IR curve bootstrapping

  • Functional setup of IR curves and their respective dependencies
  • Integration of external quantitative libraries
  • Validation of Zero-Coupon rates curves bootstrapping
  • Real-time market data update

 

Trades Valuation&Risk analysis

  • Validation of Risk analysis results : Sensitivities (Delta, Gamma), Stress, VaR, P&L explain
  • Test cases and scenarios
  • Computation of Multicurve switch impact (MtM, Risk, users training)

 

CSA management

  • Analysis of the client collateral structure
  • Development of ad-hoc tools for the automation of trade assignment and default index derivation
  • New application to check trade’s assignment