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Modern Derivatives Desk: Do you have what you need?

This is part of a series of papers to bring transparency in what solutions should be delivered in a bank's Capital Market.

This publication details what functions/features to expect in a typical modern Derivative Front Office desk.

It brings clarity to an institution that is selecting a Derivative Front Office solution in what to have as a minimum. It also acts as a high-level roadmap checklist for software companies developing Derivative solutions or Consultants deploying a derivative solution.

I will split the document into Products and Functions.

Products (not an extensive list)

Interest Rates Derivatives:

  • Swaps Vanilla

  • Swaps Structured

  • Cross-Currency Swaps

  • Constant Maturity Swaps

  • Overnight Indexed Swaps

  • Future on Interest Rate Swap

  • Forward Rate Agreements

  • Interest Rate Futures

  • Options:

  • Cap/Floor

  • Cancelable

  • Swaptions

  • Callable

  • Range Accrual

  • Target Redemption

  • Spread Cap/Floor

Foreign Exchange Derivatives:

  • Spot and Forward (deliverable or non-deliverable)

  • FX swaps (deliverable and non-deliverable)

  • Window forward (including early take-up)

  • Averaging forwards (average-rate, average-strike, double-average)

  • Options:

  • Vanilla Options (OTC & listed; cash-and physical-settled)

  • Barrier Options (Single/Double)

  • Digital Options

  • Binary Options

  • Lookback Options

  • Asian Options (average-rate, average-strike, double-average)

  • Forward-start Options

  • Compound Options

  • Basket Options

  • Quanto payoffs (self and third-currency)

  • Scripted payoffs:

  • Target Redemption Forwards (TARF)

Equity Derivatives:

  • Equity Forward

  • Equity / Index futures

  • Listed Options

  • Vanilla OTC options

  • Vanilla OTC Basket Options

  • Equity swap

  • Volatility Swap

  • Barrier Option

  • Asian Options

Credit Derivatives:

  • CDS

  • CDS Indices

  • CDS Forward

  • Asset Swaps

  • Credit Index Futures

  • Syndicated Loans

Inflation Linked Products:

  • Inflation swap

  • Inflation Cap/Floor

  • Inflation Asset swap

Commodity Derivatives: