Simulation of Derivatives Post-Trade Services using an Authoritative Data Store and the ISDA Common Domain Model

TL;DR

This paper demonstrates a simulation framework for post-trade services in interest rate swaps, utilizing an authoritative data store and the ISDA CDM to improve data consistency and process standardization.

Contribution

It introduces a novel simulation architecture combining the ISDA CDM and an authoritative data store for post-trade interest rate swap services.

Findings

The simulation addresses data inconsistency issues.

The architecture improves process standardization.

The implementation showcases industry-relevant design patterns.

Abstract

In this paper, we present a summary of the design and implementation of a simulation of post-trade services for interest rate swaps, from execution to maturity. We use an authoritative data store (ADS) and the International Swaps and Derivatives Association (ISDA) Common Domain Model (CDM) to simulate a potential future architecture. We start by providing a brief overview of the CDM and the lifecycle of an interest rate swap. We then compare our simulated future state architecture with a typical current state architecture. Next, we present the key requirements of the simulated system, several suitable design patterns, and a summary of the implementation. The simulation uses the CDM to address the industry problems of inconsistent processes and inconsistent data, and an authoritative data store to address the industry problem of duplicated data.