Financial Services

Equity Derivatives at Citi

Citi brought in Def Method to build a real-time web platform that integrates with Quant libraries and provides vol-swap and collateral-based pricing support.

Services Provided

Web Development, Data Engineering, Application Modernization

Product Type

API-based Web Platform

Technologies Used

Kotlin, React, Typescript

Project Highlights

Citi traders can access the latest derivative pricing models quickly and easily with a new, API-based platform

Knowledge of Python is no longer required for traders to be able to utilize the models

The platform now hosts nine different tools and is used by six different teams across the organization

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About

Citi's mission is to serve as a trusted partner to their clients by responsibly providing financial services that enable growth and economic progress. Their core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of their clients. After recognizing that their traders faced significant challenges utilizing custom-built financial models, Citi brought in Def Method to streamline data access by building a new web platform.

Challenge

In the fast-paced world of financial trading, traders require convenient and speedy access to the financial models necessary to make successful pricing decisions. However, at Citi, trading was hampered due to slow and outdated access to critical data. Traders faced challenges accessing the latest derivative pricing models developed by Quantitative Analysts due to the slow download process and the need to know Python programming language to use these models. Because these large models had to be downloaded onto their computers, this also meant the traders may not be utilizing the latest version of the models.

Solution

Citi brought in Def Method to build a centralized web platform serving financial models to traders. The team designed the platform to host the latest version of the Quant libraries, integrating vol-swap and collateral-based pricing support. The platform is API-based, meaning traders can easily access it without needing to download or install the models on their computers. This approach ensured that traders are always accessing the latest, approved version of the quant models without delay, and can use them without knowing Python.

Results

The new platform has been a resounding success, providing traders with easy and immediate access to the latest derivative pricing models. The platform has saved traders time and money while ensuring they have access to the latest pricing model, resulting in improved trading outcomes. What started out as an experiment by a small engineering team has grown into a platform that hosts nine different tools and is used by six different teams across the organization. The web platform development is fully supported by the organization with a robust team of 10 engineers working to incorporate additional tools and models and make them accessible to teams across Citi.