Case Study CS Quant Engine

"Certificate-issuer"

OBJECTIVE

The client is a leading issuer of derivatives to retail clients. The average volume of certificates offered daily is 200,000, with most of the certificates falling into Category 3 under the PRIIP Regulation.

The client needs a system that handles all calculations under the PRIIP Regulation quickly and reliably, so that intra-day (intra-day) issues are also possible. All calculations of the entire issuer scenario must therefore be carried out stably and reliably overnight in a limited time.

CHALLENGES

Communication with the system must be automated in order to be able to process large amounts of data.
All calculations (including extensive category 3 Monte Carlo simulations) must be available on-demand at all times.
The entire scenario must be calculated in less than 3 hours.
Nightly mass calculations must be stable and reliable.
Load peaks must not lead to an overload of the system.Certificate issuer

Procedure

Establishment of a REST interface for integration into automated processes
Development of a "concierge service" for the coordination of input data and calculation results
Development of a serverless architecture incl. automatic scaling options for performance and handling of peak loads
Implementation of "self-healing" mechanisms in case of technical problems.
Operation across different, geographically separated data centres to ensure highest possible system reliability and stability

CUSTOMER BENEFITS

The customer not only receives an extremely reliable and very fast system for calculating all PRIIP data, but also, thanks to the chosen software architecture, a very cost-effective system that can be seamlessly integrated into automated processes. The automatic scaling enables secure and high-performance processing at all times; even suddenly increasing loads can be handled without any loss of performance - and without high investment costs for the constant provision of computing power.

The user-friendly web interface of CS Quant Engine also creates additional added value for the customer in addition to the central requirements: In the web interface, the user can quickly and easily view all data anomalies that CS Quant Engine has filtered from the entire calculation pool using the data control mechanisms and, if necessary, immediately take targeted post-processing measures, which leads to a further significant increase in efficiency.