Algofi constantly seeks to satisfy the needs of its clients as closely as possible, offering the best possible quality of service both for major banks and smaller companies.
Comprehensive Technical Assistance
Our Asset Manager client's information system was made up of a number of different fund management applications designed to increase their value, manage risks, manage order cycles and calculate costs. This has been completed by a set of other tools covering performance report generation, risk monitoring modules, bulk order issue interfaces and data extraction and uploading tools. ALGOFI was called on to intervene on the Information System as a whole, providing Business Analysis, Software Engineering and Support services for the Asset management sector. Algofi put together a team of 11 employees to successfully complete this mission.
- Requirements survey and impact analysis
- Evaluation of project load
An impact analysis for each production incident requiring application development work:
- Impact analysis, anomaly evaluation, avoidance potential
- Action plan proposition
Second level functional support:
First level support receives all of the requests and incidents and ensures that they are dealt with if there is no need for further analysis. Additional analyses are completed by second level support.
First level Application Support (ITIL L1 and L2):
Application Support ensures and supplies various services including:
- Incident & Request Management
- Release Management
- Training Management: training users and all support team members to use the applications
The service involved working with the Business Analysis and Software Engineering teams on the qualification of all IS change requests by ensuring the integration and functional non-regression tasks and tests. The service specifically involved the following actions:
- Completion of functional non-regression tests on all of the IS applications
- Analysis of test results (manual and automatic) and monitoring of any "defects"
- Quality Centre testing and situation listing updates
Migration of FX SWAP ACTIVITY from MUREX to SUMMIT
As part of the re-organisation of a large investment bank's Front Office, and more specifically its FOREX operations, ALGOFI took charge of transferring the whole of the Exchange Swap activity (World Wide - G12/US/Asia/Emerging) from Murex to Summit specifically covering the associated Project Steerage, Project Management and Development missions.
- Position management
- Cash management
- Recovery of deals on-going since 01/01/XX (Transfer Book)
- End of year management (covering managed and non-managed positions)
- Market data recovery and additions (Real time)
- Method differential analysis (swap point vs. swap basis curve)
- P&L/hedges impact analysis at the changeover date
- Connection of electronic platforms within Summit (Reuters Dealing, Barx, RET, etc.)
- Adaptation of the pricer to the RET platform for Emerging currencies
- Implementation of a back-to-back: creation of Trade in Murex between the Murex Sales book against Summit OTC internal counter-party for a pair of eligible currencies and Creation of Trade in Summit via the "Gateway" - book mapping.
- BO system feed management
- BO process impact (Regulations/Accounts)
- Supply and completion of P&L/Hedge files for the results Cell
- Risk impact (Sensi, hedge by risk axis, real-time counter-valuation, margin calls management, etc.)
CALYSPO V14 front to back implementation
A public institution launched a project to implement a shared market operations processing platform for its Front Office, Risk, Back Office and accounts activities as well as for a number of financial instruments (Exchange, Interest rates, Gold, standard derived, etc.). Calypso Technology Inc.’s Calypso Business Software was selected as the best solution for the platform.
The core activity aspects of this project were led by an ALGOFI team with "Core Activity" skills for market operations, "Method" skills for the project implementation and associated deliverables and "System" skills for the operation and setting up of the V14 version of the Calypso Business Software.
- Finalisation of user specification update, missing specialised processes, "Business Stories" market operations on Front Office activities and instruments
- Creation of detailed operational specifications in compliance with the "Front-Office" processing procedures, user requirements and best market practices
- Direct CALYPSO V14 configuration and set-up of the "Business Stories" defined for the project in keeping with the expected results based on test cases and best market practices,
- Definition of the "Front" interface tests to be implemented in the upstream and downstream systems
- Organisation, definition and participation in the various CALYPSO V14 configuration validation function tests (single and end-to-end)
- Organisation of workshops with all involved parties (users, developers, publisher, project management, etc.)
- Coordination of all parties involved in the project on the sites and iterations as defined for the project (optimisation of task sharing between parties, schedule supervision and control, managements of derivatives, adjusted reporting)
- Formalisation of necessary supports: the correct production launch of the new platform as a whole and the correct implementation of changes related to any developments in core activities (core activity processes, impact analysis, user training support, operational procedure, etc.)
- Requirement survey assistance during project team and operational meeting as well as during the various workshops
- Impact, opportunity and feasibility analysis and studies
- Monetary market and bond securities in Euro and other currencies
- Credit/Loan, Repo/Reverse repo operations
- Foreign Exchange operations (spot, term, swaps, options)
- Interest rate futures and interest rate swap contracts, IRS, etc.
- Collateral Management, Sec-Lending, delegate / Asset Management
- Operation, enrichment, simulation data entry
- Performance, P&L, Position Management
Credit risk indicator implementation
In the context of the application of the Basel II regulations, Algofi contributed to the implementation of a specialised data warehouse for the relocation of a major bank Risk Department's collected and/or processed basic global and credit risk data.
- Application Business Analysis: risk assessment for a set of portfolios and calculation of risks for the credit scope
- Functional software application design
- Requirement evaluation, framework and specification
- Organisation of project progress meetings
- Implementation of a processor validation strategy and supervision of Software Engineering projects and deliverables
- Impact and program assessments for the different delivered versions (technical and functional analysis, trading book data benchmark and collection team reporting)
- Anomaly management using Quality Centre -Business Analysis/Software Engineering team coordination during the processor validation phase
- Data source coherence and reliability
Equity derivatives Front Office Business Analyst
As part of its development strategy plan, our client, a major investment bank, launched an Equity activity development plan in response to the re-opening of the Worldline Structured Equity desks. To this end, Algofi supported their ISD's IT teams by providing the services of a Front Office Equity Derivatives specialised Business Analyst.
- Core activity support in the implementation of a new activity into the FO to BO system and in the growth of existing activities through a knowledge of FO core activities and products
- Creation of specification documents/operational specifications for all of the Front IT sector projects (new product management, trading and contributions procedures, daily position management/monitoring)
- Creation of test logbooks (certification, non-regression test for the non-regression team)
- Completion of test cycles
- User support during the validation phases (UAT, Migration, etc.)
- Sharing of Front Office core activity knowledge within the Business Analysis/Software Engineering axis
- Level 3 support
Software support for a Market Operation Counter-party risk Management application
Algofi took charge of resolving development and support issues for a team managing the market operation counter-party and consolidated commitment restitution risk calculation applications of a Parisian CIB.
- Functional needs analysis
- Drafting of technical specifications,
- Test plan and test executions
- Corrective developments in java / sql – pl sql / shell –
- Pricer configurations (IBM Algorithmics Business Software)
- Release assistance
- Production support
Algofi contributed to the launch of the first works on this new regulation as part of its trading book models review support service for a major Parisian corporate and investment bank.
- Involvement in the FRTB project and the VaR processing review to provide VaR Historic processing support based on a new pricing architecture for the front office
- Implementation, within the Summit and Murex environments, to increase the value of the foreign exchange credit interest rates and foreign exchange options portfolios in the context of stressed market data scenarios (Var, Stress VaR, Expected Shortfall, etc.).
- Implementation and testing of an industrial tool for the calculation of PV based on stressed market data in the Summit/Murex environment and the Fixed Income and OTC sectors
- Analysis and propositions for the organisation and developments to be put in place allowing for the restrictions applied to the various sectors -Production of IT team specifications and development work monitoring. Organisation of tests and instructions for the various application deliveries, creation of impact scores and associated instruction statements
- Coordination of impact validation with the various departments (Front-Office, Risks Department)