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LW Analytics - Coggle Diagram
LW Analytics
Current State
Risk Team is Profiling Portfolio and Benchmarks
Edwina Calulator is giant calculator with complex functions
Genesis - Was created as a POC, to handle market calculator limitations (eg Callable Bond duration)
Flexibility - Primarily for Fixed Income, FTSE benchmarks, DEX Universe widely used for Canadian FI Portfolio
Limitation of Data Provider
FTSE provides standard data not with Overrides. LW looks at market differently
Non Canadian data is not covered by FTSE
Formula is not secret, key use case is custom inputs
Validation - is done using BBG terminal
Limitation on Troubleshooting if issues
Cost of internally calc Risk is low with Edwina vs External calc
Edwina Documentations are not maintained
Technical Debt - Market has moved on (here still using legacy model)
BBG has Analytics as data source
Build vs Buy - Limitations at the time of decision with BBG in ~2020
BBG is more matured now, LW is cosidering BBG users as Golden source in 2025
Example of expectation of New Platform
Generate Security Master Data, enrich and calc
Need Recommendation from IVP
FLow Chart Walkthrough from Minh
Data feed from FTSE
LW looks at Bid side of things
FTSE gives 20 k, what is needed by LW is 1l
Staging gets all rows,
Want to see IVP raw data
Core gets LW world
Data process breaks in load?
Batches
Morning
End of Day
Intraday
Manual Override to recover issues
Would like to see IVP process of Failed pipe recovery
BBG overrides by business user
BBG is updated based on Sec data in BBG Terminal
Data when loaded to LZ
Multiple Models of Calculation in sequencial order for maintaining hierarchy
Final data gets loaded in LZ
First Edwina Analytics
Last Future Calc Factor
Fallback for LZ