Boosted Interpolation Grids

The power of Deferred Object Loading

A central challenge that FRTB is bringing to banks is how to utilise existing infrastructure in the context of the P&L Attribution Test (PLAT); in particular, how to improve interpolation grids for fast pricing. The new MoCaX functionality, Deferred Object Loading, provides an ideal solution. MoCaX technology delivers an interpolation scheme that is guaranteed to converge ultra-fast with the original pricing function. This means that a MoCaX “smart” grid needs very few points to give ultra-high pricing accuracy. With the newly added functionality, MoCaX can create these smart grids without the need for any specific information of the particular trade at stake; the same way banks currently create standard-interpolation grids.

This solution is ideal for existing interpolation grid infrastructures because all the inter-systems communications operate in exactly the same way and, in addition, it also delivers ultra-accurate pricing. Hence, PLAT can be passed (high accurate pricing) and infrastructure costs decrease (fewer calls to the pricer are needed).

Download PDF