WestLB is a major German investment bank and a significant player in structured credit products.
DataSurge were engaged to develop a reporting application for market data in structured credit products provided by a third party data provider, MarkIT.
We began by undertaking a full analysis of the business model encompassing bonds, asset-backed securities, loans and their respective credit default swap products. Having modelled these products, we expanded the model to encompass credit indices for these products.
Having derived our database model, we then implemented an automated process of loading the data using Microsoft SQL Server Integration Services.
In order to make the load process more robust and more flexible to future demands for data, we utilised object-oriented technology to write a data retrieval library and console based download application.