Foreign Exchange and Money Markets

Initial project was to "productise" software produced for a single client  and create a package that would appeal to multiple clients. The package was a FX and Money Markets real-time pricing tool. The initial package derived FX, depo, FRA and FXRA values and highlighted arbitrage opportunities.

The second phase of the project was to support and enhance the new product. Enhancements included Interest Rate Swaps, Option pricing and support for French O/N Swaps.