3A Client Internship - Trading Linear Rates - Validation Of New Model For Rate Curves Calibration H/F Murex

The Team:

As part of Murex's Trading domain, our team is firstly responsible for the smooth, timely and cost-effective implementation of our platform in the client's environment. Following the client go-live, the client services team develops and implements an appropriate upgrade and support strategy.

Client services EMEA Trading team is responsible of providing expertise to the client and support him on MX.3 platform in the maintenance phase, new implementation and extension phases.

The team is also coordinating with Trading product experts to raise the client concerns, align the recommendations and share the new areas of enhancement.

The Mission:

Context:

Rate curves are the cornerstone of linear rates trading and used across all business process. They are used for:

- Trade pricing et revaluation
- Risk computation and monitoring
- Accounting valuation
- Etc.

A common practice for constructing rate-curves is to calibrate and interpolate a series of zero-coupon rates equal in number to the number of instruments in the calibration basket. However, this approach does not offer traders the flexibility to specify a particular curve-shape without impacting the granularity of the final curve and the curve's calibration basket itself.

To remediate to that, Murex developed a new calibration model that allows the users to increase the number of unknows via additional calibration/interpolation nodes, and let them fine tune the overall curve shape by means of the minimization of a given penalty function.

Objective and missions:

- Functional Validation:
- Create a Proof Of Concept (POC) to be shared either internally or with a set of selected clients. This means:
- Configuration of curves using the new model
- Validation of the curve shape with the addition of extra pillar points
- Numerical validation of curves outputs and pricing of linear rates instruments
- Quality Assurance & Feedback:
- Identify and report any anomalies, incidents, or improvement opportunities to the product and development teams.
- Collaborate with internal stakeholders to refine the solution based on testing outcomes.
- Client Deployment:
- Deploy and validate the solution in a specific Murex client environment, ensuring it meets client-specific requirements and standards.
- Provide support during the deployment phase and assist in troubleshooting any issues.
- Documentation & Knowledge Sharing:
- Produce a comprehensive deployment guide detailing:
- The solution architecture
- Configuration steps
- Validation procedures
- Scope of coverage
- Murex recommendations and known limitations
- Effort Estimation:
- Assess and document the effort required to deploy and validate the solution across other client environments.