Banca Carige Integrates a MATLAB Based Valuation Library with Its Enterprise Pricing and Risk Platform

以前，Banca Carige使用第三方加载项用于Microsoft^®Excel^®to price derivatives, bonds, and other complex instruments. This add-in required the team to perform numerous steps manually in a time-consuming,
error-prone process. In addition, it was inflexible and could not be modified. “No third-party supplier can provide a solution that meets the specific needs of every bank,” says Raviola. “If we requested a change or a new feature, we had no way of knowing when or even if it would be implemented, or at what cost.”

The team wanted to use in-house expertise to develop their own pricing libraries. Once they had tested the libraries, the team needed to integrate them with the Misys Kondor Structured Pricing (KSP) system, which was used throughout the bank. “The natural solution was to extend Misys KSP with pricing models that we developed ourselves, but to achieve that integration we needed a way to create .NET components,” says Simone Ligato, senior financial analyst at Banca Carige.

Banca Carige used MATLAB to build and deploy pricing models for a wide range of financial instruments, including interest rate swaps, interest rate options, equity and index baskets, and inflation linked options.

Using MATLAB, Financial Toolbox™, and Financial Instruments Toolbox™ the team developed their MatFin libraries by applying a variety of methods and financial models, including Black-Scholes, Monte Carlo, and Cox-Ross-Rubinstein.

使用财务工具箱进行日期转换和现金流量分析。这些库包括使用金融仪器工具箱功能从一组零曲线流动的算法。该团队还开发了MATLAB算法，以根据彭博社^®specification for discount factors.

为了验证其定价模型，该团队将其图书馆产生的结果与彭博社和几个金融对手的市场价格进行了比较。

他们使用MATLAB Compiler™，将其MATLAB算法打包为Microsoft Excel加载项，以帮助验证其新库和原型。

最后，他们使用MATLAB编译器SDK™将其算法部署为.NET组件，并将其与Misys KSP集成在一起。

The MATLAB pricing libraries are in production at Banca Carige, and the team is currently developing additional libraries for other derivatives products.