OverviewThe exotics desk within Dresdner Kleinwort (DKIB) in London needed to price deals and create correlation matrices rapidly. The desk chose Xenomorph systems to capture and process price series and FX rates, from both Reuters and Bloomberg, for all securities within its universe and for its speed in calculating correlation matrices. 
"Xenomorph has provided the exotics desk with the ability to price its trades much faster through the speed of the data download and the correlation calculation engine." Colin Knight, Exotics Desk, DKIB 
"We have used Xenomorph systems for several years and have successfully integrated them into our business process. Xenomorph systems provide third-party flexibility coupled with a standard approach across the organisation." Darren Rodohan, IT, DKIB IntroductionDKIB, the investment banking division of Dresdner Bank, provides a wide range of products and services to European and international clients including corporates, institutions and governments. DKIB provides a full array of advisory and capital markets products and has a strong market presence in key global sectors. |
The briefBoth the process of downloading data from data providers and the calculation of correlations was very time consuming for the exotics desk, which had a direct impact on the desk's ability to quickly price trades. The desk needed a solution that was: 1 simple to use; 2 available in a discrete application; 3 tried and tested; 4 able to speedily download, store, retrieve and analyse vast amounts of data; 5 able to calculate highly complex correlation matrices at speed. The solutionThe Xenomorph application suite has enabled the rapid pricing of deals by enabling a faster data download from data sources, and its proven ability to calculate highly complex correlation matrices. The exotics desk creates client-specific baskets for which correlations are created using Xenomorph systems. The implied volatilities are then calculated on a weekly basis using in-house applications. To facilitate fine adjustments to the calculated implied volatility of the basket, Xenomorph applications are used to measure the correlation between the FX rates of each discrete security housed within the basket and the basket currency itself. In-house models are used to price the basket. 
"DKIB's innovative use of the Xenomorph application suite provides the exotics desk with a powerful system that delivers real business benefits. Xenomorph is pleased to be working with DKIB and we look forward very much to continuing the relationship." Naj Alavi, Account Manager, Xenomorph www.xenomorph.com www.dresdnerkleinwort.com |
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