For the last few weeks, I’ve worked on implementing OTR Bonds in Calypso. An OTR Treasury security is the most recently auctioned Treasury bill, note or bond of a stated maturity, with OTR an abbreviation for “On-the-Run.” Today, 09/29/2006, for instance, the 3 Month OTR Bond has CUSIP 912795YL9 and was issued yesterday with a maturity of 12/28/2006. In 15 days, however, it will roll to a different Bond issued sometime in mid-October. So, in essence, the 3 month OTR Bond is a reference to an actual bond. Calypso’s modeled this quite nicely, in fact, with the concept of a Bond Benchmark which, itself, is an instrument that can be priced or traded, but actually references a “benchmark” Bond. Simply put, OTR securities provide a convenient way to model market data curves for Fixed Income Trading.
The thing that’s been rather tricky, actually, is to interface Calypso with a Treasury TIBCO feed that supplies us with the latest OTR Bond aliases. Obviously enough, the first step is to retrieve the Bond Benchmark to make sure that OTR Bond and the actual benchmark match the data provided by TIBCO. If they don’t match, then the Bond Benchmark needs to be updated as well. Then, however, we also need to update Calypso’s feed config so it knows how to retrieve the latest quote from TIBCO in the future.
It’s actually not all that complicated, except that the persistence layer for Calypo’s Bond Benchmark keeps barfing up NullPointerExceptions. Apparently it tries to do some caching, but it’s really not all that good at it, and considering that you’re dealing with… hell, let’s say one thousand bond benchmarks, Calypso’d be better off just fetching the data from the DB instead of spewing exceptions at me. That’s simply not polite.
Unfortunately, Calypso doesn’t give you the ability to trade a Bond Benchmark. You can trade the underlying Bond, but apparently trading a reference was too hairy to design. It’s true that it adds a level of complexity since you would need to take a “snapshot” of the benchmark at the point in time when the trade is created. If that trade settles a month down the line, the 3 month OTR Bond will have changed, but obviously the Bond which was traded will not! Then again, seeing it from that perspective, it might be just a little too confusing to keep track of. A nifty feature, though, would be to at least be able to enter a trade with the 3 month OTR Bond and having Calypso automatically fetch and populate the trade entry screen with the appropriate bond.
I’m kind of curious why not create a generic ProductPointer that can be traded and have the BondBenchmark either extend the base class or implement the interface. My gut says I’d go with an abstract base class since you’d want to bring down as much functionality as possible into the superclass and just give hooks to customize the behavior.
Have a good weekend,