Market data journeys
Table of Contents
A curve or a surface is a composite object the desk is responsible for: it is built from what the market sends, corrected by hand where the market is wrong or thin, approved by a second pair of eyes, and published so that pricing and reporting can use it. This group holds the journeys that author those objects, watch and clear the market data they are built from, build and diagnose them, adjust them by hand, and govern their publication.
Market observations and published curves are two different things. An observation is what the market sends and nobody signs it off; a published curve is what the system uses, and it exists only once a person has published it. Nothing a feed writes is used until then.
A feed need not be the real market. The group's synthetic journeys author an FX price feed and an IR curve feed, run them as a named collection, and keep the short-rate models the curve editor offers as data rather than code. A synthetic feed writes observations through the same path a real one does, so the provenance is what tells them apart.
1. Journeys
| Journey | Actor | Gist |
|---|---|---|
| Manage a curve's blueprint | trader, quant | The curve's identity, pillars, bootstrap and conventions |
| Maintain the curve blueprints | trader, quant | The recipes as one record each: list, open, add, change, copy, what each feeds, and its end |
| Check that a curve blueprint builds | trader, quant | The recipe's own checks, the pillars the market cannot fill, and the curve they produce |
| Author a surface's framework | trader, quant | The surface's axes, quoting convention and model |
| Watch the market and clear its exceptions | trader, operations | The raw quotes, and the fallbacks for the ones that fail |
| Bootstrap or refresh a curve | trader | A candidate curve from the day's market |
| Calibrate or refresh a surface | trader | A candidate surface from the day's market |
| Adjust a curve or surface by hand | trader | A manual point or a spread overlay, with a reason |
| Check a curve's fit | trader, quant | The candidate against the quotes it came from |
| Read a pair's FX forward ladder | trader, quant | Forward rates, discount factors, forward points and swap points of a USD pair |
| Inspect a surface's slices | trader, quant | The smiles and the mesh, and their arbitrage |
| Ask for a publish to be approved | trader | The candidate set put to a second pair of eyes |
| Decide a publish | approver | Approve, refuse or hold, with a comment |
| Publish the approved set | trader | The candidates the system now uses |
| Withdraw or replace a published curve | trader, approver | Undo a publish, with the reason kept |
| Watch a curve or surface evolve | consumer | One instant, or a range, over time |
| See who changed a curve, and when | auditor | The trail of a published curve |
| Author an FX price feed | quant, trader | The pair, the process, the GMM mixture and the sample paths that say whether it is a price feed |
| Author an IR curve feed | quant | The short-rate model, its parameters and the tenor ladder the curve is bootstrapped from |
| Offer a synthetic collection | simulator author | The generators a collection owns, what it covers, and offering it by enabling it |
| Manage the yield curve process types | system administrator | The short-rate models and their parameters, kept as data rather than code |
| Manage market data subscriptions | party administrator | The providers a party takes, the source that serves each, the usage and the cost, as a record screen, the same for live and simulated sources |
| Run the public sources | system administrator | Whether each public provider's fixings arrive, its terms, a pause, a backfill of a range, and where each feed started |