Context

The client, a tier 1 Swiss Bank, wished to bring FX pricing and execution management in-house from an on-premise vendor solution to gain cost savings and greater product control.

Problem

Over a number of years the vendor had established a tight binding to the client's change and run cycles for an important vendor-supplied FX software application. The vendor wrote, deployed and managed the application on the client's premises. The client began to feel uncomfortable about the single-vendor dependency. The client felt that they had sufficient resources in-house to be able to at least run the application themselves.

Solution

After using our services model, we and the client determined that it would be feasible to replace the vendor solution with one jointly developed by the client and us. Rewriting the pricing capabilities were then given to Upton Consulting, with the quoting and order capture capabilities developed in-house by the client's internal development team.

We provided the following components

• FX and Precious Metals price engine, including cross computation and tenor calculations for standard tenors out to 10 years
• Money market price engine for short and long term deposits and loans, for standard tenors out to 10 years
• A value date service to provide accurate value dates for standard tenors and broken dates

Measurable Impact

The migration from an on-premise vendor solution to an in-house solution saved the client approximately 2.5 million swiss francs annually in licensing and consultancy fees