Excel-based Demonstration of the GemDelta FpML matching technology.

Purpose

One of the biggest current challenges of derivatives processing is ensuring that all parties involved in a derivatives deal agree on the exact terms of the transaction. When these terms are changed, clearly understanding the changes is also essential. Existing tools for matching derivatives are limited in capability and scope, causing extensive manual work in reconciling and matching derivatives transactions, and increasing the operational risk associated with trading in derivatives. The GemDelta suite exists to address these challenges.

Please see Downloads for several online demonstrations of GemDelta.

Description

GemDelta uses a simple but powerful and configurable scoring algorithm for assessing the quality of matching between two derivatives deals. This matching properly takes into account the fact that the deals can be represented differently (for instance side 1 and side 2 can be interchanged) and still represent the identical transaction. Once GemDelta has determined the best matches between different components of the deals, GemDelta reports the optimal matches between deal components, the match quality, and relevant differences between the deals. These assessments are generated in XML, and tools are provided to display the results – for example, the overall match quality and the list of differing fields – in HTML on a web page.

Features

• Reports match quality in percentage terms
• Reports which trades/components matched with which other components
• Reports differing fields
• Supports trades recorded from either point of view, in any order
• Handles FpML references correctly.
• High-speed server version available
• Version integrated with GemDelta available.

Technology

• GemDeltaJ is based on Java 1.3+, Xerces, and the high-speed SAX API for processing XML documents. GemDeltaJ is optimized for high-speed, high-volume FpML matching applications, and can match thousands of documents in a few minutes.
• GemDelta is based on XSLT, and has been tested with Saxon, Xalan, and MSXSLT. It can integrate with GemScribe, or run in stand-alone mode.

Applications

• Reconciliation between multiple trade capture systems (e.g. between the two counterparties’ representations, or between that of a broker or agent and a principal.)
• Reconciliation between existing systems or databases.
• Analysis of amendments.
• Comparison of document versions during the negotiation of terms
• Portfolio matching, e.g. for collateral purposes.

Quality Assurance

An online requirements cross-reference repository is under development.

A large set of sample files and known differences has been created, and changes are subject to an extensive automated regression testing suite. Whenever changes (including fixes to newly discovered defects as well as enhancements) are made to the functionality of the suite, new test cases are created and added to the testing suite to verify the accuracy of the changes.

Status and Plan

• A beta version of GemDeltaJ is available for online demonstration, and a download is available for a 90-day free trial. Please see a demonstration in the Downloads area.
• A beta version integrated with GemScribe is available. Please also see a demonstration in the Downloads area.
• Planned for 3-4Q 2003: Integration with GemVault to do portfolio reconciliations. (This is currently in alpha test).

Availability and Pricing

• One year development-only license for GemDeltaJ, $199. This provides an executable-only version of GemDeltaJ, and comes with free automated updates during the one year subscription period, as new versions are released. It is licensed for use in development applications on a single workstation only (no server installations). Please contact us to buy a copy of GemDeltaJ.
• An add-in for the ISDA version of GemScribe is available at a special introductory price of USD$199. This provides the add-in package, plus a one year runtime only, single user membership in the community. This membership will provide upgrades to released versions of the GemDelta for the one year period. Please contact us to get the GemDelta add-in for GemScribe.
• One year production site license GemDeltaJ, $999. This provides an executable only version of GemDeltaJ, and comes with free automated updates during the one year subscription period, as new versions are released. It is licensed for use in production or development applications on any number of processors belonging to one member (a single legal entity or set of affiliated legal entities). Please contact us to buy a copy of GemDeltaJ.
• Perpetual production site license GemDeltaJ, $1999. This provides an executable only version of GemDeltaJ, and comes with free automated updates during the first year subscription period, as new versions are released. (This is the "Ruby" membership level). It is licensed for use in production or development applications on any number of processors belonging to one member (a single legal entity or set of affiliated legal entities). It also comes with the GemDelta add-in for GemScribe, with one year support. Please contact us to buy a copy of GemDeltaJ.
• Source license for GemDeltaJ, $2999. This comes with free automated updates during the one year subscription period, as new versions are released. It comes with read-only access to the GemDeltaJ source. (This is the "Emerald" membership level). It is licensed for use in production or development applications on any number of processors, and there is no expiration on the license to use the software. It also comes with the GemDelta add-in for GemScribe, with one year support. Please contact us to buy a copy of GemDeltaJ.
• Full-access license for GemDeltaJ, $4999. This comes with read/write access to the GemDeltaJ source, one day of included dedicated support, telephone support for critical issues, and the right to participate in prioritizing enhancements and defects. (This is the "Diamond" membership level). It is licensed for use in production or development applications on any number of processors, and there is no expiration on the license to use the software. It also comes with the GemDelta add-in for GemScribe, with one year support. Please contact us to buy a copy of GemDeltaJ.
• Individual consultants, please consider Joining as an Onyx member to learn more about this technology.