ARM : A commodity trading system

W&M commercialise a commodity trading solution, Front-to-Back. The application allows for market risk management and the monitoring of operational risk through four modules :
1. Market data management 
This module allows for market data management of real time commodity prices and volatilities. All data can be shared by the users, who have the possibility to set up dynamical linking of curves (via spreads) to facilitate quoting. Data can also be fed by external contributors such as Bloomberg or Reuters. Available asset classes are :
  • Oil
  • Precious Metals
  • Base Metals
  • Carbon Emissions
  • Coal
  • Iron Ore
  • Agricultural products
  • Power
  • Natural Gas
  • Currencies


2. Deal capture and trade management
Transactions are being inserted rapidly through pre-defined templates. A complete trade history is available, i.e. every time a deal is modified or deleted, a new version of it is being created. This module also allows for calculating fees automatically depending on the Brooker and Clearer. The available contracts are :
  • Futures
  • Swaps
  • European Options
  • American Options
  • Asian Options
  • Physical contracts
3. Pricing and simulation
The existing pricer covers vanilla products such as swaps, futures and options, if necessary, an external pricing library can easily be integrated. Detailed risk analysis and Greek letter indicators can be calculated using scenarios.


  • Real time updating of prices
  • Pricing of swaps, forward and option strip
  • Automatic generation of swap strip
  • "Compo" and "quanto" pricing
  • Linear combinations of transactions (MtM et Greeks)
4. Risk analysis

The risk analysis (RA) allow following-up and configuration of customised reports according to a wide set of dimensions (underlying, portfolio, client, etc...). An explanation of the daily PnL is available based upon the Greek indicators and market data variations by risk factor (Explained PnL).


  • Conditional formatting of views
  • Bi-axial scenarios, flat price and volatility
  • The result is available at the deal level (trade id)
  • Possibility to compare results in between two RA's
  • Historical VaR
  • Error and warning report