Situation
A major UK based investment bank wished to provide a service to their corporate customers, whereby they could transact FX based on benchmarks produced from real FX transactional data. Their requirement was to produce over 1000000 fixings per annum and for GRSS to manage the system, including primary and secondary hosts. The system was to be externally audited for quality control purposes.
Process
GRSS provided a specification for the development of a system, in consultation with the bank, to take data from leading FX transaction based systems, and to create hourly fixings, each day for a large number of currency pairs.