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Real-Time Profit & Loss

Speed is one of the defining characteristics of today’s markets. Vast amounts of market information from multiple sources stream in on a continuous basis, reducing the time available to act on emerging opportunities with confidence. As a result, everyone from clients to investment managers to risk managers want real-time information on holdings, positions, unrealized profit and loss, aggregated balances, and currency and sector exposure. Unfortunately, most of the technology used to determine position keeping and portfolio valuation doesn’t act in real time based on the latest market prices.

Sybase Event Stream Processor (ESP) is specifically designed with the understanding that today’s markets move too quickly to wait until end-of-day to know where you stand. While traditional portfolio valuation systems are implemented on top of a relational database, the volatility of market prices is beyond the capacity of a relational database to keep up. Sybase ESP provides an alternative approach, using a dataflow architecture that can continuously update positions and compute valuations using live market prices without breaking a sweat.

A Flexible Data Model that Spans all Asset Classes
With the diversification of funds across geographies and asset types, displaying a consolidated account profile and calculating profit and loss across a number of instruments can be extremely complicated, especially when the data used in the calculations is always changing. Sybase offers a flexible, expandable data model that allows you to define the business logic for each source of data, even as that data changes—including quantity and current price data on stocks, delta, gamma, and vega calculation data on options, currency rates for international securities, and coupon and current yield data on bonds.

Sybase’s high level modeling tools allow you to work at the level of business rules rather than coding your logic in C++ or Java. Existing proprietary pricing models can be invoked using Sybase’s interface for user defined functions. Rules can be used to determine which pricing model to apply to a given security.

Integrate Cleanly with Existing Systems
The Sybase server can accept input from any number of systems. Consolidating trades across multiple order management systems? Not a problem. Have more than one market price feed? Not a problem. A typical system will load start of day positions from the portfolio accounting system or other database of record. During the day, one or more transaction streams will feed into the Sybase server to maintain current aggregate positions. One or more price feeds will stream into the Sybase server to continuously update the value, gain/loss and other computed factors.

The flexibility of the Sybase data model allows all input data to be received in its native format, eliminating dependencies on modification to upstream systems. Similarly, output data can be produced in whatever format is required by downstream systems, again minimizing dependencies that can impede deployment. A range of available connectors from Sybase provide direct integration with most databases, message platforms, market data systems and include support for FIX.

Pro-active Alerting
In addition to continuously computing portfolio valuation, monitoring rules can be added to the data model to generate alerts when specified conditions are detected. This can include monitoring limits, movement, acceleration and weightings.

Multidimensional Analysis
An optional extension to the base platform leverage the Sybase Live OLAP (on line analytical processing) server to provide interactive data analysis capabilities to end users. With this tool, users can dynamically roll-up data along different dimensions, viewing aggregate data with the ability to drill down into the details. Unlike traditional OLAP tools, with Sybase the user is analyzing the live data set that is continuously updated by Sybase ESP, allowing the user to analyze the current state of the portfolio, rather than what it looked like yesterday.

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