accenture futre trading system

5/10/2018 Accenture Futre Trading System - slidepdf.com

http://slidepdf.com/reader/full/accenture-futre-trading-system 1/18

The Future of Trading Systems?Harnessing the collective

power of Excel



1

The Future of Trading Systems?

The proliferation of Microsoft Excel spreadsheets in the capital

markets front office has brought many benefits to trading desksworldwide - not least the speed and flexibility needed to bring

products to market quickly and efficiently, thereby maximizing

profitability and market share. However, Excel's dominance has

also presented issues. In some organizations, spreadsheets are

running out of control, creating operational and financial risks and

posing problems for security and regulatory compliance.

A new future may now be in prospect for trading systems - a

future in which the flexibility and familiarity of Excel is

maintained, but the current devolved fragmentation of spreadsheets is replaced by more centralized control, thereby

reducing risk and opening up opportunities for higher revenues

and lower costs. At the core of this potential new model is

Microsoft's Excel Services, a new technology offering enabling

Excel spreadsheets to be scaled across user groups, calculations to

be efficiently computed on the server, and change to be ‘locked

down' through centralized authorization. Trading Systems may

evolve from prototype spreadsheets to fully deployed enterprise

supported applications without the need for long costly and riskysystems implementation programs. Will this be the future of

trading systems? There are clear challenges on the path from

legacy stand-alone Excel to this new server side variant, but we

now believe it is an option the capital markets players should

seriously consider.



2

Excel is popular across many

sectors...but nowhere has itgained such a strongstranglehold as on the citytrading floors.

Across the capital markets industry,

the Microsoft Excel spreadsheet has

become traders' undisputed tool of

choice for financial modeling,

pricing calculations, and managing

risk. Clearly, Excel is popular across

many sectors, from education to

small businesses to multinationals.

But nowhere has it gained such a

strong stranglehold as on the city’s

trading floors.

The fact is that capital markets

institutions depend crucially on Excelspreadsheets for designing and

processing fast, accurate calculations

to support trading decisions. Every

working day, institutions including

brokerage houses, investment banks,

asset and wealth managers, and hedge

funds use Excel to analyze risk, value

portfolios, set product pricing, run

simulations, and make business

decisions. All over the world, capital

markets firms use Excel to develop new

instruments, from equity derivatives to

structured credit products.

They do so because Excel offers a fast

and easily-accessible mechanism for

keeping abreast of rapid change, by

enabling ideas to be quickly converted

into reusable functionality. The

flexibility and speed of development

that Excel offers, coupled with the

relatively low level of technical

knowledge and experience required tobuild applications rich in

functionality, have positioned Excel as

arguably the number one trading tool

in the world. When the low

acquisition costs of the technology

are also taken into account, it is clear

that Excel delivers a truly exceptional

return on investment. In short, Excel

is cheap, adaptive, and gets new ideas

to market quickly.

Meeting front-office needs...

As a result of these inherentadvantages, the usage of Excel in

capital markets has not only become

pervasive, but has extended to a

remarkable degree of breadth and

depth. From the perspective of the

end-to-end trade lifecycle, Excel now

touches every key stage [see Figure 1].

While Excel's influence in the front

office is all-encompassing, it does vary

by area. An industry survey by

ClusterSeven1, a specialist developer of enterprise spreadsheet management

software, illustrates the areas of the

front office where Excel has achieved

the deepest penetration [see Figure 2].

The traders' tool of choice

In short, Excel is cheap,adaptive, and gets new ideasto market quickly.

1. “Operational Spreadsheets: a growing awareness" by Ralph Baxter, Director, ClusterSeven

All over the world, capitalmarkets firms use Excel todevelop new instruments, fromequity derivatives to structuredcredit products.



3

Pre Trade Post Trade

TradeCapture

Pricing Trade ExecutionTradeBooking

Lifecycle Management

CRMProductStructuring/Development

Research

Confirmation SettlementCashManagement

Accounting &PnL

Product Creation: Excel is thecornerstone of new modelcreation & regression testing.These models can easily beamended to adjust pricing toaccount for particular riskfactors specific to a clientExcel Dependency: Medium

Trade Execution: In-house & 3rd

party execution products typicallyprovide Excel interface, enablingdealer to trade direct fromspreadsheetExcel Dependency: Medium

Lifecycle Mgmt: Excel often used inplace of Event Mgmt application totrack and manage trade events,market events and Calendar Eventssuch as fixing dates, cashflows andexpiriesExcel Dependency: High

Pricing: Generate ‘House’ price,connect Excel to in-house analyticslibraries and inbound market datafeeds. Manage price and quotescontributions to market directly fromExcel using APIsExcel Dependency: High

Trade Booking: Trade details exported toexcel-based Trade Tickets. Trade entry forcomplex products often fed fromspreadsheet to mainstream systemsExcel Dependency: Medium

Risk Mgmt: Risk libraries, incl trade data anduser parameters, used to view and controldesk exposure. Volumes of Excel use areparticularly high for new or highly complexproductsExcel Dependency: High

Risk Management

8

9

9

9

11

9

18

25

23

9

9

46

38

23

36

18

9

11

36

37

46

55

64

73

78

91

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%

Never Occasionally Frequently Very frequently

New business analysisand support

Investment appraisal

New product/instrumentcreation

Position management

Pricing and valuations(e.g. pricing tool)

P&L calculation

Risk and/or portfoliosimulation

Risk calculation

Figure 1: Excel usage

Figure 2: Spreadsheet usage within the front office

Source: ClusterSeven

Source: Accenture research, Accenture Capital Markets



4



5

The headlong growth of Excel usage in

capital markets reflects the constant

and intensifying pressure on the front

office to simultaneously bring new

products to markets, exploit potential

windows of high profitability, and

establish long term market presence.

Traders and quantitative analysts

(quants) work together closely to build

models in accelerated timeframes,

combining market, reference and

trade data in spreadsheets that wrap

analytical libraries. The widespreadand constant creation of these

prototype Excel spreadsheets is

commonly justified by technology

departments, who describe them as

‘specifications’ for development teams

who will - at some unspecified future

date - build the functionality into

existing tactical enterprise systems

(see Figure 3).

It is not only new product innovation

that follows this design methodology,

but often simple enhancements,

advances in price modeling, or

acquisition of new market data. All of

these can be developed rapidly using

Excel by the desk teams, with a view

to assimilating them to the enterprise

platform at a later date.

Traders and quants worktogether closely to build modelsin accelerated timeframes,combining market, referenceand trade data in Excelspreadsheets that wrapanalytical libraries.

Inevitably, the time-lagbetween the conception of anew product and thesubsequent integration into theenterprise-wide ITinfrastructure results in thesetemporary Excel spreadsheetsbeing used for extendedperiods…

Why traders love Excel

Traders love Excel - and have done so for

several years. According to Dr Michael

Newberry, EMEA Product Manager of

High Performance Computing at

Microsoft, there are now 400,000

installations of Excel being used globally

by traders. And this number is rising all

the time, with many hundreds more

Excel-based applications being created

every day.

Excel's underlying advantages are clear. It

is a tool with which everyone is familiar,

from ten-year-old schoolchildren to

senior executives. Alongside its familiar

and user-friendly interface, Excel has a

strong, flexible and proven calculation

engine, and does not require complex

programming techniques. These

advantages have seen it become

ubiquitous among the global businesscommunity.

However, Excel really comes into its own

on the trading-floor. A good example is

its use within the world of derivatives

and structured products, where it has

become a major component in the

arsenal employed by traders faced with

the need to create and trade the most

complex and esoteric of deals. In this

competitive environment, where being

first to market can sharply enhance bothmargins and market share, Excel often

forms the backbone of the trade capture,

pricing, and risk management systems.



6

Inevitably, the time-lag between theconception of a new product or

technique and the subsequent

integration into the enterprise-wide IT

infrastructure results in these

temporary Excel spreadsheets being

used for extended periods by the

trading desk to price and risk-manage

live trades. New products and

techniques are constantly being

introduced, and trading volumes in

some of them expands rapidly. So if

the rate of introduction outpaces the

speed with which technology

departments are industrializing the

existing Excel tools, more and more

products are left to be risk-managed

by Excel-based tools. Such a situation

is far from ideal.

Clear and present dangers

The proliferation of Excel-based tools

across the industry raises clear and

present dangers, both for tradingdesks themselves and for the

institutions that run them.

At root, the problem is that existingExcel spreadsheets are virtually

impossible to control centrally. The

strengths that have made Excel so

popular - its flexibility and speed of

development - are the very factors

that are now increasingly presenting

support and management issues that

can result in serious operational risks

to the organization. The sheer volumes

of business-critical spreadsheets used

by the front office, and the speed and

ease with which new bespoke

instances can be created, mean that

validating all pricing and risk

calculations as ‘fit for purpose'

becomes extremely difficult. This

exposes the business to the danger of

incorrect risk assessments, not to

mention audit and compliance

infringements. Cells can be changed

without creating audit trails, and

spreadsheets can be e-mailed across

the enterprise and even to external

customers - putting the bank's

intellectual property at risk.

Figure 3: The time-lag between new product conception and integration into

the enterprise system

1. Trader creates

new complex

derivative product

2. Trader and

quants create

spreadsheet

to price and

book new trades

4. Risk calculated

off spreadsheet with

new trades

continuing to be

booked on

spreadsheets

6. Front office IT

integrate product

into the strategic

trading systems

3. First Trade

undertaken with

Risk and PnL

calculated off

spreadsheet.

5. Control function

puts a booking freeze

on Product due to

excessive

operational risk

1. Trader creates

new complex

derivative product

2. Trader and

quants create

spreadsheet

to price and

book new trades

4. Risk calculated

off spreadsheet with

new trades

continuing to be

booked on

spreadsheets

6. Front office IT

integrate product

into the strategic

trading systems

3. First Trade

undertaken with

Risk and PnL

calculated off

spreadsheet.

5. Control function

puts a booking freeze

on Product due to

excessive

operational risk

Time

O p e r a t i o n a l R i s k

The strengths that have madeExcel so popular - its flexibilityand speed of development -are the very factors that arenow increasingly presentingsupport and management issuesthat can result in serious

operational risks to theorganization.

Source: Accenture research, Accenture Capital Markets



7

In addition to the challenge of

controlling the validity of Excel-based

tools, there is also the desktop nature

of the tools and the computational

limitations that this brings.

Organizations have numerous

ingenious mechanisms designed to

harness the computational power

needed to undertake all the

calculations required for end of day

risk calculations. But there is ever-

increasing pressure to improve the

performance of the calculations in

Excel, and the ability to meet thisneed is fundamentally limited by the

underlying desktop architecture being

used to conduct the computations. In

some cases the limitations of Excel,

the architecture and the resultant lack

of computational performance have

resulted in the inability of front

offices to trade new asset classes.

Given these issues, it is not surprising

that the front office's love affair with

Excel is not shared by most

investment banks' technology and

support functions. In general, IT

departments do not regard Excel as

‘proper' enterprise technology, but as

a quick and easy desktop calculation

tool. In their view, users across the

trading-floor have created

spreadsheet mania, and IT itself now

faces the challenge of regaining

control. The problem is however, that

the ongoing proliferation of spreadsheets means that the goal to

regain control is often receding rather

than getting nearer.

Investment banks' technology

departments currently face a three-

fold challenge: to manage and controlthe validity of Excel spreadsheet

based tools; to preserve one golden

source of pricing truth; and to

increase the speed and accuracy with

which these tools can be incorporated

into the existing enterprise IT

infrastructure to meet the constant

demand for improved performance,

scalability and stability. The hunt is on

for a solution that will meet these

three challenges.

…the limitations of Excel have

resulted in the inability of frontoffices to trade new assetclasses and continue trading inmaturing asset classes whenthey have breached approvedvolumes from controlledfunctions.

The problem is however, that

the ongoing proliferation of spreadsheets means that thegoal to regain control is oftenreceding rather than gettingnearer.



8

It appears to offer the potentialfor a workable solution whilststill offering the prospect of retaining Excel's flexibility andthe look and feel that are soloved by traders.

From an IT department's point of

view, if Excel spreadsheets must be

used, the ideal solution would enable

the centralization of processing and

control over these spreadsheets onto

a server. This in turn would enable the

bank to harness the collective power

of Excel tools across the organization,

turning the problem of spreadsheet

mania into a positive asset -

effectively creating a new and

powerful shared resource capable of

boosting revenues, reducing costs and

mitigating operational risk. WithMicrosoft's launch of Excel Services as

part of its Microsoft Office SharePoint

Server 2007 offering, it seems that

just such a solution may now be to

hand.

Excel Services introduces a new way

to develop and deploy Excel built

applications under the .NET

framework, and provides the ability to

run Excel spreadsheets on the server

side. As such, it appears to offer the

potential for a workable solution to

the challenges with Excel faced by

front-office technology functions,

whilst still offering the prospect of

retaining the application's flexibility

and the look and feel that are so

loved by traders.

Put simply, Excel Services enables

spreadsheets to be uploaded to the

server for sharing using a range of methods including Web Services and

dynamically rendered web pages.

These distribution mechanisms and

server side execution require

calculations to be described not in the

legacy Excel manner by visual basic

applications (VBA), but through user

defined functions (UDFs) written using

.NET technology. This move from VBA

to .NET is the fundamental enabler for

server side management andallocation, and for distributed

computation.

The result is a major change from

current desk development practices.

The new process would start with the

creation of a spreadsheet and upload

to the server by an authorized person.

The new spreadsheet functionality

would then be made available to all

authorized users through a number of

different mechanisms: rendered as

HTML using a Web browser;

programmatic interface via the Excel

Web Services API; or downloaded as a

complete spreadsheet for desktop use.

The key feature is that the general enduser does not have the ability to alter

or modify the shared spreadsheet on

the server without authorization and

auditable change control.

This new process opens up a wide

range of benefits. The move to server

side control protects the integrity of

spreadsheets, including their data and

computations, mitigating the risks

around validating all pricing and risk

calculations. Security is vastly

improved, through the ability to

authenticate and control which users

can see and change which data,

restrict the distribution of

spreadsheets across and beyond the

organization, and reduce the

likelihood that users will carry

business-critical spreadsheets and

data around on their laptops.

Regaining control: Excel Services



9

to be tackled individually on each user's

desktop.

Further benefits are provided as Excel

Services technology is built on the new

SharePoint Server 2007 platform which

in turn includes Windows Workflow

Services. This technology enables

workflows to be designed for a

spreadsheet to centrally manage

publication and amendments. The

ability to define a workflow around

spreadsheets helps reduce operational

risk by:

1) Ensuring centralized sign off of

change

2) Providing notification of change

events to major stakeholders and

risk/control departments

3) Maintaining a full audit trail of

modifications

and business layer, and load-balances

the requests made to Excel Calculation

Services. Within this overall process, the

role of Excel Calculation Services is to

load Excel workbooks, calculate them,

call custom code (user-defined

functions - UDF) and refresh the

required external data. It also maintains

the session state for interactivity. If

desired, the Application Server can be

distributed using Windows Compute

Cluster Server (CCS) or a comparable

offering, opening up the potential for

high performance Excel computation.

The overall approach provides two key

benefits: a single enterprise-wide

source of data for a particular activity,

and a server side space where all

computations are performed. As a

result, performance problems can be

addressed centrally rather than having

The technology behind

Excel Services

Excel Services is a component of

Microsoft Office SharePoint Server

2007, enabling Excel applications to be

stored and run on the server side rather

than the desktop, and providing the

ability to lock down spreadsheets

centrally. By deploying the new version

of Microsoft Office onto desktop

computers, and Excel Services on the

server under SharePoint Server 2007,

the IT function can ensure that ratherthan users having their own version of

a spreadsheet on their desktop PC, they

share the spreadsheet via the server.

After calculation of the formulas in the

Excel workbooks, the results can be

offered to the user over HTTP via a Web

Browser or as Web Services. Excel

Services handles the necessary

communication between the Web tier

Web Server

Application Server

SharePointContent DB.

Clients

Web

Business

Data

Excel Web Access Excel Web ServicesExcel Web Access Excel Web Services

Excel Calculation

Services

External Data Sources

y

UDF

Library

3rd Party

Software

Component

Excel Spreadsheet

InternetExplorer



10

However, the really key benefit in

terms of operational risk is that

moving spreadsheets to the central

server puts IT in control of each

calculation in each spreadsheet.

Trading desks today have a wide

range of spreadsheets containing a

vast array of quant code, analytics

and pricing calculations. As market

conditions and pricing methodologies

change, there is a risk that

spreadsheets may get out of date,

resulting in a price being published -

and trades executed against it --under an obsolete calculation method.

This is a major operational and

financial risk that Excel Services can

help to mitigate. The new process is

also far more scalable (see

information panel). And the ability to

lock models down and control them

centrally for formal transaction

processes presents substantial

regulatory compliance benefits in

guaranteeing the accuracy of the datagoing into financial controls (see

Figure 4).

There are further benefits at the

enterprise level. Retaining the new

UDF business logic created by desk

developers allows technology

functions to easily reuse the .NET

libraries in their enterprise systems. It

provides a vision where spreadsheets

evolve into production applications

removing the need for long, costly

and risky implications. And on a

commercial level, having a central

version of the truth - and a central

version of each calculation - means

trading desks and the institutionsowning them can be faster and more

confident in their response to

changes in market conditions and

customer demand. This in turn

contributes to greater flexibility and

responsiveness, helping to build

differentiation in the marketplace and

competitive edge. As a result, the

reduction in the risk profile is likely to

be accompanied by a rise in revenues.

Retaining the new business logiccreated by desk developers allowstechnology functions to easilyreuse the code and libraries intheir enterprise systems.

Figure 4: New process flow with Excel Services

Source: Accenture Research

1. Trader creates

new complex

derivative product

2. Trader and

quantscreate

spreadsheet

to price and

book newtrades

4. First Trade

undertaken with Risk

and PnL calculated

using central analytic

from Excel Services.

6. Front office IT

integrate UDF

quickly into the strategic

Net trading systems

3. UDF and

Analytics

deployed

and spreadsheet

published tosharepointDB.

5. Second trade,

third trade etc….

Solution scales and

all code centrally

managed.

1. Trader creates

new complex

derivative product

2. Trader and

quantscreate

spreadsheet

to price and

book newtrades

4. First Trade

undertaken with Risk

and PnL calculated

using central analytic

from Excel Services.

6. Front office IT

integrate UDF

quickly into the strategic

Net trading systems

3. UDF and

Analytics

deployed

and spreadsheet

published tosharepointDB.

5. Second trade,

third trade etc…

Solution scales and

all code centrally

managed.

Time

O p e r a t i o n a l R i s k

It provides a vision wherespreadsheets evolve intoproduction applicationsremoving the need for long,costly and risky implications.



11

Scalability and performance: a key

benefit for derivatives

For derivatives trading, a further key

benefit of the Excel Services technology

is its scalability. Derivatives is an area

of capital markets characterized by

rapid growth in new products requiring

complex bespoke calculations. The need

to bring these products to market

quickly and price them effectively has

seen Excel become the tool of choice. If

the first couple of trades in the new

product are successful, then tradingtransaction volumes can escalate

dramatically. However, unless the

product's pricing computation is

implemented quickly and accurately on

the enterprise system, the risk

management across all these trades

may still be dependent on the original

Excel spreadsheet that was thrown

together at the start - and which may

be copied across to different desktops

as trading takes off, creating expanding

operational risks.

What is needed is a technology

platform that is scalable enough to

keep pace with the growth in the

business value of the product, based on

a single shared source of data and

computations. Excel Services can

deliver this, by starting with an

enterprise-level .NET implementation

that enables scalability and smooth

growth, rather than requiring a ‘big

bang' as the spreadsheet and its

computations are re-implemented on

the enterprise system.

Excel Services is intended to be used

by multiple users and as such, it has a

multi threading model that is designed

around running several requests from

different users. Traditionally, Excel

spreadsheets have been

computationally distributed using third

party vendors like Platform Symphony

(www.platform.com) and DataSynapse

(www.datasynapse.com) but Excel

Services offers the option of

distribution with Compute Cluster. By

running Excel Services on each node of

a Compute Cluster a flexible and

scalable distributed computing solution

can be easily built. There are

significant overheads - setting up job

scheduling, licensing costs, and

external libraries require .NET wrappers

- but fundamentally, Excel Services

offers a quick and easy mechanism for

distribution and performanceenhancement.



12

While the benefits of moving to Excel

Services may appear clear, there are

inevitably hurdles on the way. As we

mentioned above, the new version of

Excel that runs under Excel Services

uses UDF rather than VBA technology.

There is potential effort and cost

involved in converting the existing

mass of Excel spreadsheets from the

legacy VBA to the UDF required for

server side control. Microsoft has

already confirmed that it plans to

stop supporting VBA, so this is a

challenge that will ultimately face allorganizations using Excel.

The problem is that the process of

conversion from VBA to UDF is non-

trivial and - currently - both time and

skill-intensive. In many cases, the

challenges are compounded by the

fact that the VBA code was written in

a rush against tight market deadlines

and is not well-documented. This

increases the risk that some elements

of a calculation could be lost in the

transition to UDF.

Capital markets players face a

dilemma. Even if a standardized

methodology is applied to the process,the risks and costs of converting

legacy spreadsheets to UDF may not

be justifiable: yet starting again from

scratch with a new UDF platform risks

losing a wealth of intellectual

property, accrued business knowledge,

and value in the existing spreadsheets.

A workable compromise may be to set

a threshold based on explicit criteria -

high computation content, multiple

users, business criticality in terms of risk and/or pricing calculations - and

only convert those spreadsheets that

meet this threshold.

Irrespective of the chosen approach to

conversion, the fact remains that

continued proliferation of VBA

spreadsheets is simply storing up

problems for the future; problems that

will need to be addressed at some

stage. Halting this proliferation sooner

rather than later will avoid a re-run of

the situation facing those investment

banks that adopted the NeXT platform

in the early 1990s, many of whom are

still trying to move applications off

the technology ten years after support

for it was withdrawn.

Conversion: A hurdle on the road

Halting this proliferation soonerrather than later will avoid are-run of the situation facingthose investment banks thatadopted the NeXT platform inthe early 1990s, many of whomare still trying to moveapplications off the technologyten years after support for itwas withdrawn.



13

The death of VBA

Since its introduction in 1993, VBA hasallowed Microsoft Office and Excel to

conquer more of the business IT space

then many would ever have predicted.

From its humble beginnings as a simple

spreadsheet application, Excel is now at

the core of a bewildering array of

solutions from simple financial records

to complex trading and risk

management spreadsheets - all taking

advantage of the flexibility and ease of

use of VBA.However, there are mounting threats to

the dominance of VBA, and with good

reason. Corporate IT departments are

demanding greater levels of control and

auditing, and many businesses are keen

to harness the power of new

technologies such as grid computing

and web services. Companies also worry

about the cost of creating a system

twice; firstly in VBA and then as a full

enterprise system, and complain thatthis duplication is an unnecessary

waste of effort.

The latest version of Office for the Mac

will discontinue support for VBA

entirely, and with the PC version of the

popular Office suite now supporting

.NET development with advanced

features such as Excel Services and the

VSTO (Visual Studio Tools for Office)

environment, many are beginning to

wonder if the time is not right to

follow in the footsteps of Visual Basic 6

and make the move to the .NET

platform.

Certainly, although support for VBA

macros will continue for the next

couple of years, those wishing to

leverage the latest developments both

in the individual applications such as

Excel, and through deep integrations

with systems such as the latest

incarnation of SharePoint will find an

ever increasing pressure to move away

from VBA to .NET - Microsoft's

preferred, and best supported

development platform for Office.



14

.dll(cir)

.dll(cir)

.dll(Win 32)

Any.NET language

Managed C++ Class Library

QuantLib in C++

.NET Methods Calls

.NET Interop Services

.UDFs

InteropLayer

CoreFunctionality

Exploring the benefits

In our view, Excel Services appears to

offer a potential answer to the

problems faced by technology

departments within investment banks

and wider capital market players as

the volume of derivatives productscontinues to rise and the number of

Excel spreadsheets used across the

front office continues to grow. To

understand if this technology is a

viable foundation for a trading

platform, Accenture's Capital Markets

Solutions Group have recently been

engaged on a project to explore the

potential and demonstrate the

benefits of the Excel Services

technology in a capital marketstrading environment.

The project was able to answer two

main questions:

1) Is Excel Services a viable platform

on which to build a scalable and

performant enterprise derivatives

trading systems?

2) What methodology and tools are

required to port an existing

spreadsheet with extensive VBA,

wrapped C++ analytics libraries

and connections to external data

sources to the new Excel Services

architecture?

At the time of writing, the project has

been running successfully for a

number of months and has defined a

robust and thread-safe three tiered

extendable architecture and built a

server side spreadsheet based fixed

income derivatives trading system

from the bottom up using UDF. Our

aim was to examine the feasibility of

using this new technology in a trading

situation, and to discover the issuesand difficulties with building a trading

platform with Excel Services, scaling

the risk calculations, and running

overnight batches using Microsoft

Compute Cluster Server. This is now

complete.

The system provides both a browser

interface and Web Service API. The

browser approach is, in reality, only

suitable for users with well defined

requirements that are unlikely to

change frequently. In the scenario

where a trader wants to use a server

side libraries from within their

spreadsheet to, for example, build

their own custom pricing model

within a ‘play-pen' environment they

can interface directly through the

programmatic interface of Excel Web

Services API. This method provides

an excellent way to achieve the

balance of flexibility over control.

The project is now addressing the

problems involved with portingexisting Excel spreadsheets with VBA

to the new architecture. A reusable

methodology and tool set have been

developed that can provide

accelerators to the controlled

transformation of front office Excel

spreadsheets to a future state Excel

Services platform.

Screenshot of the system’s Bond Calculator Some architectural decisions made by the project team.



The position is clear. Excel is currently

embedded within the front office

trading environment. But as well as

presenting a number of operational

problems and risks, the legacy VBA-

based Excel that is continuing to

proliferate in trading desks globally is

now a burning platform. This means

doing nothing is not a viable choice.

Excel has won its dominant position

for several reasons - not least that it

provides a degree of flexibility and

ease of use that enables the rapidtransformation of ideas into reusable

functionality. Given this background,

it is not surprising that getting the

front office business to part with their

beloved Excel, which is critical to their

daily quest for profit, has proven to be

extremely difficult.

Now Excel Services offers the prospect

of a less combative approach - one

that enables the organization to

harness and target the power for

Excel more effectively, rather than

trying to tackle and suppress

‘spreadsheet mania' head-on.

Technology departments no longer

need to fight with the front office to

remove Excel from the stack, Excel

Services offers an opportunity to

continue to embrace the fundamental

building block of Excel, but with the

added bonus of strategically moving

the front office business away fromnumerous unmanaged desktop tools,

to a more controlled environment

with the added benefits of server side

performance.

Of course, there are hurdles. The

technology is still immature;

performance and concurrent

scalability across a cluster requires

considerable engineering and

expertise; and there is a clear

programming paradigm shift required

by the desk development teams to

move away from VBA to .NET defined

libraries while still providing rapid

development. However, as the new

SharePoint technology matures and is

adopted within capital markets

institutions or organizations for their

standard information sharing, there

will be a clear opportunity to embrace

the world of Excel Services within the

front office. In our view this offers a

compelling vision for the trading

platform of the future.

Traders will be happy that their love

affair with Excel is not over. IT

functions will be content that this

relationship will now be more long-distance than before. Excel’s place as

a fundamental building block for

Trading Systems is uncertain, however

capital markets firms seeking the

future should consider Excel Services

as a genuine contender.

Next steps: Inaction is not an option

15



Contacts

Dean Jayson

Accenture Financial Services

Capital Markets

+44 20 7844 8295

+44 795 841 4692

[email protected]

Dominic Stanyer


Capital Markets

+44 20 7844 2981

+44 797 326 4962

[email protected]

Michael Cheek


Capital Markets

+44 20 7844 9351

+44 797 757 3330

[email protected]

16



Copyright © 2008 AccentureAll rights reserved.

Accenture, its logo, and

High Performance Delivered

are trademarks of Accenture.

About Accenture

Accenture is a global managementconsulting, technology services andoutsourcing company. Combiningunparalleled experience,comprehensive capabilities across allindustries and business functions, and

extensive research on the world'smost successful companies, Accenturecollaborates with clients to help thembecome high-performance businessesand governments. With 178,000people in 49 countries, the companygenerated net revenues of US$19.70billion for the fiscal year ended Aug.31, 2007. Its home page iswww.accenture.com

accenture futre trading system

Documents