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A South African bank needing credit derivatives, buy/sell back and bond calculations
but using South African bond conventions
OK this was easy. We had already a credit derivatives library supporting US and
European credit conventions. The client just wanted us to extend it to handle South
African bonds and repo (buy/sell back) transactions. The conventions for the latter
are exactly specified by the Bond Exchange of South Africa.
So we built and supplied:
- Our standard credit derivatives calculations enhanced with South African buy/sell
back and bond calcs.
- An asset maintenance app handling South African bond conventions - keeping the
asset information off the spreadsheet.
- A classy help system:
- And a site-licence agreement.
Voila! |
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