Its great to look back at all the work we have achieved. Each project has had new discoveries and old friends.

Client: Credit Suisse

Asset correlations are a key component of pricing trades, and our goal in this project was to provide the traders with a way of calculating correlations for previously unpriced asset pairs in real-time, so that they could provide timely quotes to their clients. Their existing correlation system had no on-demand mechanism for providing correlations for assets that were not already in the asset 'universe', forcing them to either wait until the next batch run to get correlation data or to correlate by hand themselves using a spreadsheet.

Using an agile approach, a team of two delivered a new correlation system in three months. The new system was able to calculate correlations for previously unpriced asset pairs in real-time, and also performed weekly recalculations of the entire correlation universe. We dramatically improved the time taken to correlate the whole universe by several orders of magnitude. We also provided a clean and intuitive web application for the traders to manage the assets that comprised the correlation universe. This allowed them to partition the assets into geographical groupings based on how the trading desks were organised, and gave fine grained control over asset ownership within the universe. The system also provided a rich API so that other pricing and risk systems could request correlations as and when they needed them.