Friday funnies

The walls have ears

One of the particular thing I love working with Murex is the cultural mix. Often you meet people of different background, different culture and different language. That’s a very enriching experience and a great opportunity to learn more about the world.

But back to different languages and where I’m trying to get this post to: it is considered rude to speak a different language if a person in the conversation cannot understand/speak that language. The problem is that often the 2 people revert back to their language, especially when it’s native, when:

– A presentation is going the wrong way (“Merde, ca crashe, comment je vais leur montrer ce truc” google translate is kinda your friend)

– They don’t know how to say the word in another language (“Comment on dit deja xxxx”)

– They try to pick up girls. Ok, I’m getting off topic here. Moving on

– They believe they’re by themselves.

And the latter one is the one I wanted to focus on (I know it’s probably the longest introduction ever).

Often you have people who want to discuss something privately and when you are on customer site, using a different language gives a bit of privacy and you also get the feeling that using a more native language is more accurate.

The problem is that there are people who can understand your language (except if you speak esperanto, then finding someone to talk with is quite an achievement!). Add that and whispering voice and you get the perfect recipe for letting some information out.

So as a rule of thumb only discuss with people around what you are comfortable for them to hear and understand (even if it is in a foreign language). If the conversation is more private, then discuss it really privately.

Did you have any experience (be it on either side) of something like that happening? Or did you start learning other languages just to understand what other people are saying?

Tips

Rate curves more tips

Rate curves how often did you get the dreaded message: Could not compute mid rates for curve XXX. As rate curves are so important, you can expect that everything else fails: pricing, simulation, some other market data calibration, accounting, etc… In a nutshell, you need to fix that rate curve problem ASAP!

When a curve fails to calibrate there could be different issues: one instrument in the curve is not sensitive to the curve, instruments have a price of 0 and 0 is not an accepted rate, your curve relationship is so complex that you cannot reach a solution within 30 iterations.

Whenever a curve is not calibrating, it is important to open the instruments in the rate curve and check that you get properly 0 NPV for all of them. You cannot do it for Futures (or contango or Fx swaps), so you’ll have to assume that they work. If you get an instrument with a non 0 NPV, then either you found the culprit or you have an arbitrageable curve. In the later case, if you were not doing something completely crazy, that’s a defect as curves are basically solved so that all instruments have a 0 NPV.

When you found the instrument(s) you should have a look at it and wonder how should it be sensitive to the curve that currently fails calibrating: discounting? Estimation? If estimation, you can go to rate details on the flow screens and check that you properly see the curve name. If for discounting, you can check in the pricing the assigned curve and also the solved value in the discounted flows. Usually it is quite clear to see which one fails.

Once you found it, go to the rate curve assignment and assign that instrument for discounting or estimation onto the curve. 95% of the time that fixes the issue. And if the calibration fails in production (assuming it was working before), I’d do pretty much the same except that I would first check the market rates fed in (in case you have something with very incorrect values).

The problem of rate curves not calibrating gets tougher when you have multiple rate curves calibrating at once. We already posted on such structure previously and I have to say I rarely saw any calibration issue when the system was used correctly. I have to say that when you’re trying some advanced curve relationship, first of all, inform Murex as you will need their help; secondary you can expect some calibration failure. But again zooming on the instrument and checking estimation and discounting is always the basic thing to do.

One thing you have to be wary of is when the instrument you use is sensitive to the curve only by its indexation. I had some hit and miss (more hits in the recent versions) but when you get to that point it is more workarounds for matching an existing rate building process rather than a financial reason for doing.

If you have tips, info or question, feel free to ask below!

News

Good news for today!

This is some good news for today. Nothing such as something nice to start the weekend gloriously!

Have a read at this article, I think it will make you feel good (it did for me). Without spoiling much, have a read: it’s short and completely safe for work.

Efinancialcareers post

It’s nice to see that our skills are highly valued! Don’t bother wondering if the post is biased or not. Just enjoy the good feeling and have a nice weekend!

Info

Updating SSIs in bulk – How I did it

Practical case: today, someone asked me if I could help: some trades were imported and for these ones, everything has to be considered fine: even if SSIs are missing, future flows have to be ok and not appear as missing SSIs. New trades on the other hand (even if they are on the same counterpart) have to have proper SSIs or return a missing SSIs message.

Putting some dummy SSIs (catch’all) would not work as it would affect new trades as well. Even putting a validity up to yesterday would not work either as future payments from existing trades should not show any missing SSIs error.

So the only solution I thought of: specific SSIs for imported trades. I was not completely sure of the table holding SSIs (I had to confirm it), so I entered a trade with customized SSIs and I put in one of the fields a very specific string (if you’re curious ABCDE, yes I know, very very original). Then I searched through the DB trace file (see earlier posts for how to) to find the table.

The problem I then had was that the table had a field Trade number that was not in line with my trade number (even if I was sure it was the right trade). So I searched the trace file for the trade number that I did not know about and could find it within the transaction header of the transaction. So I then had everything: from my deal number to intermediary reference (in my case it was only 1 but there could have been multiple) to final data.

Turning that into a script was then a breeze (for people curious enough I’m using the same specific dummy SSIs for all the imported trades) and voila! you now have specific SSIs for all imported trades and new ones will fetch automatically from the SSIs assignments.

Is that a perfect solution? Of course not, you can have issues upon performing events but still, it a very valid one.

Friday funnies

Murex error messages through the ages

Today, when you have a crash, the message is pretty standard and very intelligible but it was not always like that let’s review what they were.

Murex error messages : the X-windows era

Time: time before 2000/2001

At the time of X windows, there was no error message as such. If a session was crashing, basically the process would stop straight away on the server side and the window would simply disappear on the client side. Did you really have a crash? Or did you close it by mistake? You can never be sure and it was always confusing. Probably the best time for supporting customers 🙂

Murex error messages : Fatal error

Time: from 2000/2001 to ca 2005

When Murex released the Mxg2000 version, the software architecture changed. On the client side, you had a thin client running. As such, if the process crashed on the server side, you then had to display something on the screen. So they settled for probably the largest error message possible: Fatal error for session detected for process XXX. Session will now close (I’m not completely sure I nailed it exactly as it’s been some times!). All I remember is that the error could span on your whole screen especially if you were just using a 15′ screen.

Murex error messages : Maybe?

Time from ca2005 to ca2009

Alright, to be fair this was the error message that motivated me to write this post: The error message ended in Service is maybe dead. Technically it was correct: the client could not connect anymore to the server process. So maybe it was dead.

Problem is that for end users the results was the same: close and restart a new session. And if you had few crashes in a row, you would wonder if Murex was mocking you. Yeah maybe it was 🙂

Murex error messages : Modern times

Time from ca2009 to now

Sadly (for this post I mean), Murex is crashing less and less and we probably reached the most clear and intuitive message to date: “Process is not valid anymore. Session will now close.” It’s not too long it’s concise. Unfortunately you can get access to the java stack that many people still like to sent but as the crash occurred on the server side, the java stack just shows that the client cannot connect anymore.
Anyway, after few iterations, the message is now crystal clear!

Dear reader, my memory is not what it used to be. So if you see an error (haha) or something missing, please let me know and I’ll correct it.

Info

Market data interface – How to get them in!

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In this post, I won’t cover the different types of market data you can have in the system. Think about one and Murex will have it already either natively or through the user definable market data. Today, we’ll focus on Market data interface and the different means to load that data in!

Market data interface – The UIM

UIM does not stand for Ultimate Iron Man but Universal Input Method aka manual input (sounds less fancy that way). While many people would look down at the manual input, it is actually often relevant. If you’re considering a very small amount of data, that requires sanitization and is limited to a few times through the day, manual input is a good solution. Especially when you can set it up so all you need to do is copy/paste. I don’t say you should always push back on interfaces (well, actually I do) but you should actually consider it in many cases.

Market data interface – MDCS

Let’s dive into more acronyms (nothing to do with Marvel DC comics Series), MDCS stands for Market Data Contribution Service. This interface is mostly used for realtime market data feed.

How does it work? You have a service: RTBS (I’m running out of Superheroes jokes (already!)), export, direct publication which published data to a memory : MDCS (also called cache for aficionados). You can query the content of the cache either through XML request scripts or via the monitor.

The data is structured into multiple pages, with multiple nicknames.

From there, you can push that data either to database via a processing script. You can retrieve it via XML requests (note to all tinkerers: do not use that service as a way of distributing market data to all bank systems, you’ve been forewarned!) or have Murex sessions accessing it via activity feeders. Activity feeders give you the opportunity of choosing which type, page and nickname of market data can the session access.

So as you should have understood now: MDCS is the realtime service in Murex. And it is better used that way. For end of day, you should rather stick with the one after: MDRS.

In case of issue with realtime, you first need to check via monit or xml request scripts if the market data in the cache is properly updated. Which one to use should not even be a question as monit is easy and user friendly to use. If you can’t get the monit password, let the one with the password handle the issue!

If the data in the cache is properly updated. Your issue comes then from the activity feeders. You can restart them if required after trying with a new session (you should get an error message if the session can’t connect to them). If there is no error message, no realtime, check that you have indeed assigned an activity feeder to your session.

That’s the basic debugging of MDCS: check the cache, check the activity feeders and check the user settings.

Market data interface – MDRS

Market Data Repository Service. First of all, some good news! XML request scripts are almost identical to MDCS ones.

MDRS lets you retrieve and update the database directly via XML request scripts. It is effectively more efficient than MDCS-Processing script as you do everything in one go without having a stopover in the cache.

MDRS is actually pretty robust and never had too many problems with it especially if you read properly the documentation AND put the right tags in the right order. The usual trick with MDRS is to first query some market data to get the structure of the XML. And then add your Update command and modify the values as desired.

Again, Murex role is not to be the Market data repository for the whole bank. Murex primary role is to provide pricing, risk, processing services not centralize the bank market data.

Debugging MDRS is usually quite simple as you get an answer file and a log file whenever you kick in the XML script. Just fix as appropriate and you’ll be good to go!

 

That’s the 3 means of getting data in Murex, note that the services are always improved to cater for newer type of market data and especially when you’re working on new type of market data, you need to ensure that MDRS/MDCS properly support it. Otherwise, the UIM will always work!

Friday funnies

Murex Easter eggs

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Murex Easter eggs? Here’s one question that comes back from time to time and as it is chocolate season this weekend, So before you start punishing your liver with all the cocoa you can get your hands on, have a read!

Murex Easter eggs – Definition and Considerations

So for whoever never heard of Easter eggs in a software, they’re tiny features (or often games) which are hidden and can be triggered by a specific series of keystrokes or clicks. For instance, if you are using chrome, when internet is disconnected you get the pic of a dinosaur. Press space bar then and the dinosaur starts running across the desert.

Alright, so to the question: are there Easters in Murex? The answer is I don’t know. So far I haven’t seen any actual ones (but I’ve got more things to share or this post would be incredibly short!) but I’m curious if there are any. One one side, Murex is a software used to trade and supports critical services. So I’m not sure customers would really appreciate that some of the development time and code is used for coding Easter eggs. Especially if you get a bug/regression because of a Doom-like game hidden in the software. On the other hand, you have developers spending days and nights on their keyboards writing lines after lines of codes, one could assume that among all these developers, one would sneak in something funny just to release some pressure.

So if you know of actual Easter eggs, please share otherwise I’ll move on to some features which are close to Easter eggs

Murex Easter eggs – Murex typo

While there are quite a few typos in Murex, here’s an example of a typical one:

– Fx settings: Use of the word Inhibate. Of course if you activate, you can then Inhibate… Not really a word in English but you get the meaning.

Murex Easter eggs – Undocumented feature

I did not test it on more recent Murex versions, but when trying to define Commodity spot indices, the label box would not appear. You can’t save it or anything without populating the non existing box. The solution? Change the index type once the definition box is opened and revert back to spot index. The label box is back!

Murex Easter eggs – And probably the best one

This one was developed on purpose and it is probably the closest thing you can get to an Easter egg (after your omit of course the Hawaian beach feeling from the option series). Anyway, the purpose of that development was to make it easier for people doing comparison testing to know which Murex screen was running a different version.

The problem of that function, it was certainly coded by someone high on LSD or effectively color blind (as such, Murex would be just 50 shades of Grey(Sorry for that one)). The color selected could have been pastel or slightly different, but no, the color mix is what you get from a leprechaun after St Patrick’s night when he partied high on rainbows. Best is to try it for yourself but brace yourself for seizure!

In your session arguments, add /FREAKMODE and start tasting the rainbow!

If you have some pearls to share, please do but in the meantime Happy Easter!!

Info

Murex assistance or handover, how much information does one need?

I had that conversation last week: in order to provide Murex assistance, how much information is required?

Murex consultants (from Murex) providing support usually don’t need design documents, they can be useful sometimes but most of the time they will intervene on single specific problems. Access to an environment is ample information and they will dig in to retrieve whatever information is necessary. If you ask them as to why a crash is occurring, a task stopped working or a formula is not triggered, they do not need to look at the full picture. They can only focus on the single issue and all the information will be at hand (remember that Murex gives usually easy access to all the information used to produce a result: rate curve will give all pricing details, formula debugger will show code execution as well as variable values.

The other reason is that usually Murex consultants are supporting multiple customers and reading through the design document would take a significant amount of time while yielding no direct advantage to answer questions.

On the other hand, internal support team members  need to read the design documents if they haven’t been involved in the project. The design document will effectively describe the big picture and explain how everything fit together.

But thinking it over about the time I was supporting different customers at Murex, we would either ask the customers when something seemed not right. Sometimes it would indeed be a design decision and it would not make sense to go against it.
An example: few weeks ago I wrote about rate propagation and basically KMQA/IS is the most logical choice. But you will find customers using KZQC, especially in the Fx world, and this is perfectly normal.

Of course, there is a real added value for the Murex consultants to know about the design choices. This knowledge could come from reading the design document or more often from frequent support and proximity to the customer. And I was indeed more efficient in my efforts when I clearly knew why such a configuration was selected.

Does this mean that Murex consultants should read and go through design documents? I don’t think so, except if they are supporting only that customer (or very few customers). Their job is to provide information about the software, help you get most of it and solve your issues. But the internal support team can provide them assistance and guidance as to why a solution would not be suitable in the customer’s context. Good support is always at the encounter of Murex knowledge and customer configuration knowledge.

Friday funnies, Jobs

Murex interview – What NOT to do

During my time at Murex, I had to recruit quite a few people and I faced different profiles, so have a read, smile and relax. For an interview you need to be prepared and at your best. So here are some pitfalls you can easily dodge.

Murex Interview – The Test

There is a test! Yes, it’s best to revisit your finance/programming/math lessons so everything is fresh and handy in your mind. You have 1 hour to do your best.

I think I have to give the golden crown to one candidate (to whom I already told there was a test): he came in, sat in the room and I left him to work on his test. 10 minutes later, he came out, handed me back the test (nothing written on it, not even his name, perfect to give to the next candidate). “I don’t think I’m suited for this role”. At least he was honest.

Second place goes to someone we ended recruiting because that person is actually really good. But when asked to give a simple definition, there was actually a fair bit of writing. 1 page! In small characters when 1 sentence could have sufficed. Know that we discuss with you the answers you give and we can easily tell if you understand or not

Last place goes to the bullshitter. Answers were very generic and could not make much sense out of them. When asking him for more details, he told us that he did not believe that it was so important to know things in details, you can always talk your way out. Well, he managed to talk his way out of the interview.

Murex interview – Presentation

Job interview is a two way street, you discover the company and people who are looking to recruit BUT they also discover you and who you are.

Once we had this candidate who was just looking at the table, did not even look at one of us once. And his answers were short when not single worded. Not matter what we tried to get him to relax, we failed miserably and we could not get him to open up. As many Murex roles are customer facing, being comfortable talking to people is important!

When you present yourself, it’s important to explain why Murex is of interest to you and especially on the longer run. Some people (yes it happened more than once) were upfront enough to mention that they were looking at Murex just as a stepping stone in their career. Definitely not a smart move!

Murex interview – The good surprises

But sometimes you get good surprises. The feeling (usually straight away) that you found a gem, someone that would fit perfectly the bill. And the interview/test will effectively confirm it.
I often pondered if it was simply the first impression that decided how an interview would go but I do believe that the Murex test makes things actually fairer. Someone with very good presentation but lacking knowledge would effectively be at a disadvantage after the test. Someone not so good at presenting can gain some confidence and feel more on familiar ground thanks to the test.
After that if you’re not good at presenting and don’t know much, maybe it’s better not to take the interview!

 

Info, Tips

SECDATA, BONDDATA

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Secdata, bonddata are two very useful functions in Murex for retrieving security data, date of next coupons, yield to price conversion, etc… The problem is that they’re not always easy to use. So get your documentation nearby as you’ll need it with these functions.

How to use them?

They basically require 3 inputs: (string,date,string). The first string is the description of the security you wish to use: Market and security label most of the time and you need to add the expiry label for futures. You need to separate the market and the security with a comma in the string.

For instance “Market,Label” works, “Market”,”Label” would basically make Murex believe that you’re trying to input “Label” into the date field.

So usually TP_SECMKT+’,’+INSTRUMENT would give you the right argument for the first string.

For the date, that should be no problem! 🙂

For the third one, refer to the documentation and you should be all set.

Alright, so now you have a working secdata (or bonddata) function and it all seems good. Unfortunately it is not so simple and here’s the SECDATA pitfall:

If you call SECDATA or BONDDATA while parsing non security instrument, it will return an error message with something such as XXXX security not found (where XXXX is the label of your instrument). This is especially the case where you have swaps, deposits, anything basically that is not security related.

If you try to use an IIF statement to avoid the problem, the error message will pop up anyway: IIF(TRN_GRP==’BOND’,SECDATA function,0). The reason is that Murex evaluates all arguments of an IIF statement even if the boolean is false.

So, are you doomed with error messages? No! You just need to create another horizontal field which will become the first string argument:

H_SECURITY –> IIF(TRN_GRP==’BOND’,TP_SECMKT+’,’+INSTRUMENT,”).

And then you use the IIF statement again (especially if you need to return something specific when it’s not a security):

IIF(TRN_GRP==’BOND’,SECDATA(H_SECURITY,date,desired functionality),0)

So that’s how you can call upon SECDATA and BONDDATA when loading a portfolio not entirely made up of securities. This being said, I would recommend to look at already existing fields in the dynamic table to see if you can do without SECDATA or BONDDATA. Accruals being negative to see if the bond is in ex-div, MP_UPPRC for the current price, etc…

If you faced other problems or if you want to share any other trick with these 2 functions, feel free to!