Test Logic Market Fairness

To test marketability, the customer uses standard software that enables the majority of transactions to be audited automatically. A particular challenge in this context are illiquid products. To this end, the customer has developed his own mathematical models in order to support semi-automatic testing as far as possible. As part of this project, mathematical modeling for these product types was analyzed on the one hand. Since the estimation of the parameters used in the model is already several years old, on the other hand these parameters are recalculated on the basis of current market data, and a backtesting for performance analysis is proposed. In addition, various duration measures are calculated for a given class of illiquid products that easily allow for statements in a shift of the underlying base rate curve. Based on these metrics, measures for automated testing are discussed.