Fixed Income Portfolio Pricing System

Fixed Income Portfolio Pricing System is replacement of the existing excel based pricing application being used by the Swaps desk. This will provide the functionality of pricing fixed income products including derivative products, organizing them as portfolios, running scenario analysis and reporting and sending executed deals downstream into trading systems. Trade execution component of this application extends into the Order Management System (OMS) being developed for Fixed Income Sales.

For each calculator that the application is capable of pricing, there will be a 'calculator page' for that calculator. This means a user will be able to see visually all the calculators that it's possible for him to use. As new models are developed over time, these can be added as new pages.Every calculated deal is a potential portfolio or part of a portfolio. So this is generic portfolio screen into which a calculator has been dropped in. These can be thought of as pre-saved templates that have been created from blank portfolios

The calculators will be divided up by product type: swaps / Swaptions etc. and then by subgroup e.g. complex / simple Within each calculator user can only add further trades of the same type – i.e. a user can only add swaps to a swap calculator screen When user hits save in one of these templates he will be presented with an option to save all deals on the portfolio or a selection. Once saved, the trades become part of a portfolio - he can add them to an existing portfolio or create a new one.

Another option that will be available while saving would be to save the portfolio as a template. If a portfolio is saved as a template it will appear as a new portfolio button/tab with the user specified name along the other open portfolios.

Every time the user opens up the application and navigates to the portfolio screen this portfolio will be available to hi unless he chooses to dispose or make it inactive. Users can create their own template screens, for example if a client regularly asks for a swap butterfly ( multiple swap deal), the user can save this under the client name and it would appear as a new tab under swap calculators, and would be their whenever he opened his application.

There will also be a window for multi product calculators to be added, used, saved and executed. This page will also have the functionality for Executing selected trades or all the trades in that portfolio.