Dynamic Valuation Control (VCA) Engine · Workspace

Priya Raman · Quant & DX Champion P
App detail

Dynamic Valuation Control (VCA) Engine

Independent price verification: trader marks against Bloomberg consensus, the variance distribution and the queue of large variances for Product Control.

Middle office Tech standards review v1 · 6 nodes Owner: Sophie Laurent View graph
Runnable once promoted to PROD
Positions verified 12
this cycle
Pass rate 50.0%
within tolerance
Flagged for review 6
HITL / fail

Variance distribution

positions by mark-to-consensus variance

0358100–5 bps · 60–5 bps5–25 bps25–100 bps · 225–100 bps100–250 bps · 1100–250 bps250+ bps · 3250+ bps

Product Control queue — large variances

InstrumentBookVarianceStatus
FXO_USDJPY_DNTFX_EXOTIC839 bpsFail
CDS_PEMEX_5YCREDIT_SN521 bpsFail
SWAPTION_USD_1Y10YRATES_USD331 bpsFail
FXO_EURUSD_1YFX_G10111 bpsHitl
CLN_EM_2YCREDIT_EXOTIC52 bpsHitl
CDS_ITRAXX_MAIN_5YCREDIT_IDX51 bpsHitl

Verification detail

InstrumentBookTrader markConsensusVarianceResult
FXO_USDJPY_DNTFX_EXOTIC0.3100.286839 bpsFail
CDS_PEMEX_5YCREDIT_SN5.4505.180521 bpsFail
SWAPTION_USD_1Y10YRATES_USD1.8421.905331 bpsFail
FXO_EURUSD_1YFX_G100.8210.812111 bpsHitl
CLN_EM_2YCREDIT_EXOTIC97.40096.90052 bpsHitl
CDS_ITRAXX_MAIN_5YCREDIT_IDX0.5820.58551 bpsHitl
IRS_EUR_5YRATES_EUR98.87098.9023 bpsPass
FX_FWD_USDJPY_6MFX_G10149.930149.9451 bpsPass
BOND_SIEMENS_5YCREDIT_CASH101.250101.2401 bpsPass
IRS_USD_10YRATES_USD99.41299.4181 bpsPass
BOND_UST_10YRATES_GOVT99.18099.1760 bpsPass
OIS_USD_SOFRRATES_USD100.104100.1010 bpsPass