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| <p> |
| |
| <h1>Open Financial Market Platform</h1> |
| |
| <h2>Introduction</h2> |
| |
| <p>Kaupthing Bank Luxembourg, in co-operation with Weigle Wilczek GmbH, is proud to propose the Eclipse Open Financial Market Platform Project as an open |
| source project under the <a href="http://www.eclipse.org/technology">Eclipse Technology Project</a>.<br /><br /> |
| This proposal: |
| </p> |
| <ul> |
| <li>is in the Project Proposal Phase (as defined in the <a href="http://www.eclipse.org/projects/dev_process">Eclipse Development |
| Process document</a>) and is written to declare its intent and scope.</li> |
| <li>is written to solicit additional participation and input from the Eclipse community.</li> |
| </ul> |
| <p>The <a href="http://www.eclipse.org/proposals/eclipse-ohf">Eclipse Open Healthcare Framework proposal</a> has been used as a basis for this proposal.</p> |
| <p>You are invited to comment on and/or join this project. Please send all feedback to the |
| <a href="http://www.eclipse.org/newsportal/thread.php?group=eclipse.technology.ofmp">http://www.eclipse.org/newsportal/thread.php?group=eclipse.technology.ofmp</a> newsgroup.</p> |
| <h2>Overview</h2> |
| <p> |
| The goal of the Open Financial Market Platform (OFMP) is to extend the Eclipse |
| Platform to create an open-source platform for interoperable, |
| extensible financial market systems based on Equinox, Eclipse's OSGi |
| framework. OFMP targets on tools and components for middle-office Financial |
| Markets applications for the banking industry. OFMP will open-source |
| field-tested components from a bank's production environment connecting to |
| common back-office and front-office systems. |
| </p> |
| |
| <p>This <b>Open Financial Market Platform </b>proposal might lead to more generic projects, |
| such as an Open Banking & Finance Framework.</p> |
| |
| <p> |
| The Open Financial Market Platform will develop infrastructure, tools, |
| components, and services to support development of both client and server |
| applications. Client development will be based on Eclipse RCP and server |
| components will be based on Equinox OSGi together with core Eclipse concepts |
| such as plug-in based extensibility. |
| </p> |
| |
| <p> |
| The essential functional elements of OFMP V 1.0 are well understood by domain |
| experts. While there is a significant engineering effort required, we feel |
| that the work plan as proposed here can be implemented given sufficient |
| resources, and does not involve an unrealistic level of technical risk. |
| Consequently, we propose this project to be considered as an incubator within |
| the Technology PMC. |
| </p> |
| |
| <p> |
| We are not aware of any other efforts to build a <b>open-source platform</b> for |
| constructing financial applications. Consequently, we expect it will take both |
| time and effort to grow an OFMP community within the finance industry. We are |
| optimistic that within the first 6-12 months there will be a considerable |
| growth in the team after successfully passing the Creation Review and being |
| established as an Eclipse project. Our development plans are deliberately |
| open-ended so that we can employ these additional resources effectively as |
| they become available. If we are wrong in our optimism, our development plan |
| can still succeed, but clearly will take longer to reach its goals. |
| </p> |
| |
| <h2>Vision</h2> |
| <p> |
| Financial industry has experienced continuous <b>standardization</b> of its |
| main products and methods since the early 90's. |
| </p> |
| <p> |
| OFMP's goal is to respond to the increasing need of a vertical market |
| <b>integration</b> within current existing financial software offerings. |
| Several financial open source tools and mathematical libraries can benefit |
| from this platform as an integration point. |
| </p> |
| <p>The <b>componentization</b> enables contributors to more |
| easily build reusable financial business components and applications, using |
| Eclipse's powerful component model and extension mechanisms in client-side as |
| well as server-side environments through OSGi. |
| </p> |
| |
| <h2>Scope</h2> |
| |
| <p>A lot of financial applications require a common set of services, for example:</p> |
| <ul> |
| <li>Business Date</li> |
| <li>Calendars</li> |
| <li>Counterparties</li> |
| <li>Currencies</li> |
| <li>Quotes</li> |
| <li>Order Management processes</li> |
| <li>Limits</li> |
| <li>Exposures</li> |
| <li>Market Data</li> |
| </ul> |
| |
| <p>To assemble those services, several types of tools are required:</p> |
| <ul> |
| <li>Business Rules Engine</li> |
| <li>Tools to integrate with data-oriented and service-oriented legacy EIS and external data source</li> |
| <li>Reporting Infrastructure</li> |
| <li>Background Job Scheduler</li> |
| <li>Financial Mathematical Libraries</li> |
| <li>Real time data Infrastructure</li> |
| <li>Document Management System</li> |
| </ul> |
| <p> |
| OFMP will provide a framework for implementing support for a broad range of |
| financial instruments and financial algorithms/libraries, effectively |
| combining live data with quantitative financial models. Specific tools and |
| components for risk management can be easily integrated and will be provided |
| as well. |
| </p> |
| <p> |
| While providing field-tested components that connect to common financial |
| systems in an extensible framework, the platform allows to integrate |
| sophisticated methods from quantitative finance to observe, analyse and |
| project data in a real life banking environment. Latest results from academic |
| research can be more easily adopted while using this framework. |
| </p> |
| <p> |
| We believe there is an opportunity to provide a common, vendor-neutral |
| platform that includes generic components, integration mechanisms, supporting |
| tools and workflows, together with a process for staged customization to meet |
| national standards, allow differentiation of commercial products, and meet the |
| requirements of financial organizations. As mentioned above, OFMP will only |
| cover Financial Markets functionalities and will be established as a |
| middle-office platform. |
| </p> |
| |
| <h2>Functional Structure</h2> |
| <p>Proposed functional structure is presented on the following diagram:</p> |
| <div> |
| <table style="height:74px; width:980px; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;"> |
| <tbody> |
| <tr> |
| <td style="width=100%;"> |
| <div> |
| <table style="height:44px;width:970px;border-style: hidden"> |
| <tbody> |
| <tr> |
| <td style="text-align:center;font-size:20px;width=50%;">← Technology oriented</td> |
| <td style="text-align:center;align:right;width:50%;font-size:20px">Business oriented →</td> |
| </tr> |
| </tbody> |
| </table> |
| </div> |
| </td> |
| </tr> |
| <tr> |
| <td style="border-style:solid; border-width:1px; border-color:black; width:50%;"> |
| <div> |
| <table style="height:38px; width:970px; border-style: hidden"> |
| <tbody> |
| <tr> |
| <td style="vertical-align:top;width:20%;"> |
| <p><b>Common</b></p> |
| <ul> |
| <li>Background job scheduler</li> |
| <li>Business rules engine</li> |
| <li>Reporting infrastructure</li> |
| <li>Currency calendar</li> |
| <li>...</li> |
| </ul> |
| </td> |
| <td style="vertical-align:top;width:20%"> |
| <p><b>Environment Definition</b></p> |
| <ul> |
| <li>Market data management</li> |
| <li>Counterparty management</li> |
| <li>Trading guidelines management</li> |
| <li>Trading books management</li> |
| <li>...</li> |
| </ul> |
| </td> |
| <td style="width:20%"> |
| <p> |
| <b>Risk Controlling</b> |
| </p> |
| <ul> |
| <li>Real time position keeping</li> |
| <li>Intra-day risk management</li> |
| <li>Reconciliation process</li> |
| <li>Position mark to market</li> |
| <li>...</li> |
| </ul> |
| <p> |
| <b>Business Standard</b> |
| </p> |
| <ul> |
| <li>CLS Compliancy</li> |
| <li>P&L Calculation</li> |
| <li>Order management</li> |
| <li>...</li> |
| </ul> |
| </td> |
| <td style="vertical-align:top;width:20%"> |
| <p> |
| <b>Risk Management</b> |
| </p> |
| <ul> |
| <li>Market risk measurements</li> |
| <li>Derivatives instrument pricing</li> |
| <li>Stress testing</li> |
| <li>Monte Carlo methods</li> |
| <li>Simulations</li> |
| <li>...</li> |
| </ul> |
| </td> |
| </tr> |
| </tbody> |
| </table> |
| </div> |
| </td> |
| </tr> |
| </tbody> |
| </table> |
| </div> |
| <p>These components can be used in applications that are supporting Money Markets, Capital Markets and Foreign Exchange activities.</p> |
| <p>Though initially this structure is mainly focused on Financial Markets |
| divisions, it can also be extended to cover other financial divisions like |
| Accounting, Credit, Corporate, Insurance, Asset Management, etc.</p> |
| |
| <h2>Tentative Plan</h2> |
| <p> |
| 2008-01 v0.1: Main Functional Business Components running on Eclipse OSGi server<br /> |
| 2008-04 v0.2: Financial Mathematical libraries integration<br /> |
| 2008-07 v0.5: Risk Models available and Risk Reporting deployed<br /> |
| 2008-11 v1.0: Release 1.0 covering Financial Markets and Risk Management functionalities<br /> |
| </p> |
| <p>As a further step the platform will be enriched by Risk Management components to evolve to a complete Risk Management Information System (MIS).</p> |
| |
| <h2>Liaison with Industry Standards Groups</h2> |
| <ol> |
| <li> |
| The Financial Information eXchange (FIX) Protocol is a |
| messaging standard developed specifically for the real-time electronic |
| exchange of securities transactions. FIX is a public-domain specification |
| owned and maintained by FIX Protocol, Ltd.<br /> |
| <a href="http://www.fixprotocol.org">www.fixprotocol.org</a> |
| </li> |
| <li> |
| The Financial products Markup Language (FpML®) is the |
| industry-standard XML protocol for complex financial products.<br /> |
| <a href="http://www.fpml.org">www.fpml.org</a> |
| </li> |
| <li> |
| SWIFT messaging supplies secure, standardised messaging services and |
| interface software to nearly 8100 financial institutions in 207 countries.<br /> |
| <a href="http://www.swift.com">www.swift.com</a> |
| </li> |
| <li> |
| Continuous Linked Settlement (CLS) is the market standard for foreign exchange settlement between major banks.<br /> |
| <a href="http://www.cls-group.com">www.cls-group.com</a> |
| </li> |
| </ol> |
| |
| <h2>Integration Points with Other Eclipse Projects</h2> |
| <p> |
| The existing code base includes a number of components that make use or will |
| make use of frameworks provided by existing Eclipse projects. The initial list |
| of projects that may be used by the Open Financial Platform include: |
| </p> |
| |
| <h3>Business Intelligence and Reporting Tools (BIRT)</h3> |
| <ul> |
| <li>OFMP is expected to use <b>BIRT</b> for its Business Reporting needs.</li> |
| </ul> |
| <h3>Data Tools Platform (DTP)</h3> |
| <ul> |
| <li><b>Model Base</b> project to provide a model of relational database schemas and structures.</li> |
| <li><b>Connectivity</b> project, which provides components for defining, connecting to, and working with data sources.</li> |
| </ul> |
| <h3>Device Software Development Platform</h3> |
| <ul> |
| <li><b>eRCP</b> project to provide client-deployment in hand-held devices.</li> |
| </ul> |
| <h3>Eclipse</h3> |
| <ul> |
| <li><b>Equinox</b> project to implement both client-side and server-side OSGi services as evolved by the OSGi Enterprise Expert Group.</li> |
| </ul> |
| <h3>SOA Tools</h3> |
| <ul> |
| <li><b>SOA Tools</b> will provide support for service-based communication with other EIS.</li> |
| </ul> |
| <h3>Eclipse Technology Project</h3> |
| <ul> |
| <li><b>Dynamic Languages Toolkit</b> project to provide tooling for the RCML language (<a href="http://www.rcml.net">www.rcml.net</a>)</li> |
| <li><b>Java Workflow Tooling</b> project for Financial Workflows modeling.</li> |
| <li><b>Maya</b> project for profile-based client deployment.</li> |
| <li><b>Eclipse Persistence Services</b> project for interaction with relational databases, XML, and Enterprise Information Systems (EIS).</li> |
| </ul> |
| |
| <h2>Code Contributions</h2> |
| <p> |
| Kaupthing Luxembourg offers its Forex Financial Markets Middle Office Platform |
| code base and tests for consideration by the project as an initial starting |
| point. This platform has been developed internally by Kaupthing Luxembourg |
| since April 2006 and in collaboration with Weigle Wilczek GmbH since October |
| 2006. |
| </p> |
| |
| <h2>Other Open Source projects used in current code</h2> |
| <ul> |
| <li>Rich Client Markup Language (<a href="http://www.rcml.net">www.rcml.net</a>)</li> |
| <li>Spring Framework</li> |
| <li>ACEGI Security</li> |
| <li>Quartz scheduler</li> |
| <li>ObjectLab DateCalc</li> |
| <li>iBatis, XML-based object/relational mapping and persistence framework as well as a data access abstraction layer.</li> |
| </ul> |
| |
| <h2>Organization</h2> |
| |
| <h3>Kaupthing Project Initiator</h3> |
| |
| <p> |
| Mr. Alexandre Simon<br /> |
| Director, Head of Financial Markets<br /> |
| Kaupthing Bank Luxembourg<br /> |
| Phone:: +352 46.31.31.212<br /> |
| Fax: +352 46.31.31 224<br /> |
| Web:<a href="http://www.kaupthing.lu">www.kaupthing.lu</a> |
| </p> |
| |
| <h3>Initial Participants</h3> |
| |
| <table style="border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;"> |
| <tr style="vertical-align:top; text-align:left; "> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;"> |
| Mr. Frederic Conrotte<br /> |
| Software Architect - Analyst<br /> |
| Kaupthing Bank Luxembourg S.A.<br /> |
| Phone: +352 46.31.31.548<br /> |
| Fax: +352 46.31.31 224<br /> |
| E-Mail: frederic dot conrotte at kaupthing.lu<br /> |
| Web: <a href="http://www.kaupthing.lu">www.kaupthing.lu</a> |
| </td> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;">Co-Project Lead - System Integration, Committer</td> |
| </tr> |
| <tr style="vertical-align:top; text-align:left;"> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;"> |
| Mr. Fabian De Keyn<br /> |
| Financial Engineer - Market Risk manager<br /> |
| Kaupthing Bank Luxembourg S.A.<br /> |
| Phone: +352 46 31 31 683<br /> |
| Fax: +352 46.31.31 224<br /> |
| E-Mail: fabian dot dekeyn at kaupthing.lu<br /> |
| Web: <a href="http://www.kaupthing.lu">www.kaupthing.lu</a> |
| </td> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;">Co-Project Lead - Financial Enginering, Committer</td> |
| </tr> |
| <tr style="vertical-align:top; text-align:left;"> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;"> |
| Mr. Aleksey Aristov<br /> |
| Software Architect - Analyst<br /> |
| RCML Project Creator<br /> |
| Weigle Wilczek GmbH<br /> |
| Phone: +49 (0)711. 45 999 8 - 0<br /> |
| Fax: +49 (0)711. 45 999 8 - 29<br /> |
| E-Mail: aristov at weiglewilczek.com<br /> |
| Web: <a href="http://www.weiglewilczek.com">www.weiglewilczek.com</a> |
| </td> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;">Co-Project Lead - System Architecture, Committer</td> |
| </tr> |
| <tr style="vertical-align:top; text-align:left;"> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;"> |
| Mr. Stephan Wilczek<br /> |
| Managing Partner<br /> |
| Weigle Wilczek GmbH<br /> |
| Phone: +49 (0)711. 45 999 8 - 0<br /> |
| Fax: +49 (0)711. 45 999 8 - 29<br /> |
| E-Mail: wilczek at weiglewilczek.com<br /> |
| Web: <a href="http://www.weiglewilczek.com">www.weiglewilczek.com</a> |
| </td> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;">Project Coordination - Ecosystem Development, Committer</td> |
| </tr> |
| <tr style="vertical-align:top; text-align:left;"> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;"> |
| Mr. Alexander Thurow<br /> |
| Software Developer<br /> |
| Weigle Wilczek GmbH<br /> |
| Phone: +49 (0)711. 45 999 8 - 0<br /> |
| Fax: +49 (0)711. 45 999 8 - 29<br /> |
| E-Mail: thurow at weiglewilczek.com<br /> |
| Web: <a href="http://www.weiglewilczek.com">www.weiglewilczek.com</a> |
| </td> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;">Committer</td> |
| </tr> |
| <tr style="vertical-align:top; text-align:left;"> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;"> |
| Mr. Sergey Vasiljev<br /> |
| Software Designer and Architect<br /> |
| Freelancer<br /> |
| Phone: +49 (0)163 6158713<br /> |
| E-Mail: serge dot vasiljev at gmail.com |
| </td> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;">Committer</td> |
| </tr> |
| <tr style="vertical-align:top; text-align:left;"> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;"> |
| Mr. Etienne Hermand<br /> |
| Financial Engineer<br /> |
| Phone: +352 26 31 12 91<br /> |
| E-Mail: ehermand05 at gsb.columbia.edu |
| </td> |
| <td style="width:8.498cm; border-style:solid; border-width:1px; border-color:black; border-collapse:collapse;">Contributor</td> |
| </tr> |
| </table> |
| |
| <p>Other participants are more than welcome and being actively sought.</p> |
| <p>We aim to attract 2 types of project contributors:</p> |
| <ul> |
| <li>Contributors part of Financial Engineers Community (Business Analysts, Financial Mathematicians,...)</li> |
| <li>Contributors part of Software Development Community</li> |
| </ul> |
| |
| |
| <h2>Interested parties</h2> |
| <p>The following organizations have expressed interest in joining the project:</p> |
| <ul> |
| <li>Kaupthing Luxembourg S.A.</li> |
| <li>Weigle Wilczek GmbH</li> |
| </ul> |
| </p> |
| |
| </div> |
| </div> |
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