Case Study: Commerzbank achieves rapid development and deployment of a production system for derived market data with MathWorks

Commerzbank Develops Production Software System for Calculating Derived Market Data

Commerzbank needed a way to compute validated derived market data (curves, volatilities, transition matrices, risk measures) for regulatory and risk reporting across a heterogeneous Windows client / Linux server environment while accessing raw feeds in its Asset Control system. Working with MathWorks and using MATLAB and its toolboxes, the bank sought a robust, modular system analysts could build and maintain themselves that met Commerzbank’s rigorous IT and testing standards.

MathWorks consultants and Commerzbank analysts used MATLAB (with Financial Toolbox, Parallel Computing Toolbox, MATLAB Distributed Computing Server, and MATLAB Compiler) and a MEX‑file wrapper to integrate Asset Control, implement a cross‑platform Market Data Distribution Service (MDDS), and deploy a standalone Windows client. The MDDS is now in production: algorithm implementation was reduced to about three weeks, urgent changes can often be completed the same day, data loading is up to 8× faster, integration was simplified, and the system meets the bank’s testing and operational requirements.

Commerzbank

Julian Zenglein

Quantitative Analyst