alyona lamash-innovation in c&s
TRANSCRIPT
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 1
Innovative approach to testing of Clearing and Settlement systems
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 2460, +1 415 830 38 49www.exactpro.com
Alyona Lamash, Exactpro
Alyona Lamash - Head of Post Trade QA division at Exactpro Systems
Projects at Exactpro:
•Turquose EuroCCP interface
•CCP.A MIT NewClear implementation QA
•SGX CSD MIT implementation QA
•Strategic development of Post Trade QA
Introduction
Our task is Clearing and Settlement platform QA.
•There are a number of challenges and complexities in this task
•Next several slides describe such complexities and the way our
team address them
Agenda
Components of complex post trade infrastructures
• Participant structure complexity
• Trade/Position/Account lifecycle
• Risk calculation variety/complexity
• Asset classes complexity
• Upstream/downstream systems dependency
• Access via variety of API endpoints
• Test Library size
Short list of challenges
Participant structure complexity
Participant structure complexity
Trade/Position/Account lifecycle
Collateral Upload
Risk Run
Margin Call
Risk Run
Settlement Run
Trade Date
Settlement Date
Simulate DeliveryFailure
Day 1
Penalties BUY IN
Cash Settlement
Risk Run
Trade Input
Day 2
Risk Run
Corporate Action
Trade Input
Day 3
Risk Run
Settlement Run
Collateral Deficit
Delivery Default
Corporate Action
Trade/Position/Account lifecycle
Delivery Default
TradeInput
TradeInput
TradeInput
Risk calculation complexity
Asset classes complexity
Upstream / downstream systems dependency
Upstream / downstream systems dependency
Access via variety of API endpoints
Test Library size
x x
x x =LIBOR
2%
Innovation in QA: Holistic Integrated Automation Test Framework
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 17
Collateral Upload
Risk Run
Margin Call
Risk Run
Settlement Run
Trade Date
Settlement Date
Simulate DeliveryFailure
Day 1
Penalties BUY IN
Cash Settlement
Risk Run
Trade Input
Day 2
Risk Run
Corporate Action
Trade Input
Day 3
Risk Run
Settlement Run
Collateral Deficit
Delivery Default
Corporate Action
Case Study: ClearTH
Delivery Default
TradeInput
TradeInput
TradeInput
Case Study: ClearTH
Case Study: ClearTH
Case Study: Risk Analyzer
Case Study: HiVAT
Verify Model PredictionsCheck ConsistencyVerify LogsMonitoring GUI and API
Case Study: HiVAT
Good for RegressionGood for Failover Testing
Thank you