To meet the challenging goal of capturing, managing and using market data, Calypso employs a market data management architecture termed the ‘Pricing Framework’. The Pricing Framework is essentially a set of functions and applications that include among other elements: (a) Pricers/Pricing Models – used to compute pricing measures (e.g. ‘NPV’, ‘Accrual’),(b) Pricing Environments – collections of market data and pricing controls used by pricers, (c) Pricing Parameters – user settings that control how pricers compute pricing measures, Curve/Surface Generation Algorithms – generate curves and surfaces, (d) Feed Configurations – connections to external market quote feeds (e) Market Data Server-generation and delivery of real-time data on user controlled schedules (f) Market Data Manager for seeing market updates in real-time. Calypso’s highly configurable platform enables you to adapt any component of the Pricing Framework to meet the needs of your institution.
This module provides an overview of the Calypso Valuation and Pricing Framework