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: