Simulation of Derivatives Post-Trade Services using an Authoritative Data Store and the ISDA Common Domain Model

Autor:	Bakshi, Vikram A., Nair, Aishwarya, Braine, Lee
Rok vydání:	2021
Předmět:	Computer Science - Computers and Society Computer Science - Databases
Druh dokumentu:	Working Paper
Popis:	In this paper, we present a summary of the design and implementation of a simulation of post-trade services for interest rate swaps, from execution to maturity. We use an authoritative data store (ADS) and the International Swaps and Derivatives Association (ISDA) Common Domain Model (CDM) to simulate a potential future architecture. We start by providing a brief overview of the CDM and the lifecycle of an interest rate swap. We then compare our simulated future state architecture with a typical current state architecture. Next, we present the key requirements of the simulated system, several suitable design patterns, and a summary of the implementation. The simulation uses the CDM to address the industry problems of inconsistent processes and inconsistent data, and an authoritative data store to address the industry problem of duplicated data. Comment: 16 pages, 4 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2110.02571 Zobrazit plný text záznamu View this record from Arxiv