For XVA application using C#, SQL Server, WCF, DevExpress.Designed, developed and implemented Stress Testing system to perform calculations for multiple market data scenarios. This system could run large number of batches and provide drilldown to individual trade level.Designed, developed and implemented generic system for storing Market Data, including creating generic fields used to highlight errors when data pasted from clipboard.Created system to profile and compare batch… Show more For XVA application using C#, SQL Server, WCF, DevExpress.Designed, developed and implemented Stress Testing system to perform calculations for multiple market data scenarios. This system could run large number of batches and provide drilldown to individual trade level.Designed, developed and implemented generic system for storing Market Data, including creating generic fields used to highlight errors when data pasted from clipboard.Created system to profile and compare batch runs.Maintenance and re-structure of many system functions. Show less

Agile development of messaging system. Designed and programed several front end windows applications using WPF. Re-architect database including Analysis of SQL Server Replication and partitioning. Implemented SQL Server Integration Services (SSIS) Packages. Optimize and fine tune of C# and SQL. Convert messages to and from various formats using XLST.

Equity Derivatives pricing system. Created new low latency high volume multithreaded .Net pricing system which allowed number of instruments to be processed per server to be increased from 50 to 5,000. New model written in C#, with managed C++ to wrap legacy C++ code. This included processing XML configuration files and dynamic loading of assemblies. System re-prices instruments in real time, reacting to events including Tib market data, database changes and user input. Serialisation… Show more Equity Derivatives pricing system. Created new low latency high volume multithreaded .Net pricing system which allowed number of instruments to be processed per server to be increased from 50 to 5,000. New model written in C#, with managed C++ to wrap legacy C++ code. This included processing XML configuration files and dynamic loading of assemblies. System re-prices instruments in real time, reacting to events including Tib market data, database changes and user input. Serialisation to/from XML. Designed configurable thread pool. Used Microsoft Enterprise Library.Major enhancements involved new functionality for different pricing methods at different times of the day, new monitoring processes to ensure prices are pulled when incorrect and Fine tuning as system priced several thousand instruments per day. This is an event driven system using Tibco technology using SQL server.Automated process of creating new issue instruments from closest existing instrument. Show less

Developed analytic system for CMO ABS/MBS deals. Calculations used Intex CMO subroutines on Linux, running on a Platform Symphony grid. Front-end client interfaces for Excel on windows and other applications on Linux. System can calculate ABS tranches based on different scenarios for prepayment, loss, severity, delinquency and recovery. Also provided solver functions to calculate various parameters, stress testing and calculation of greeks.Designed, developed and implemented a C++… Show more Developed analytic system for CMO ABS/MBS deals. Calculations used Intex CMO subroutines on Linux, running on a Platform Symphony grid. Front-end client interfaces for Excel on windows and other applications on Linux. System can calculate ABS tranches based on different scenarios for prepayment, loss, severity, delinquency and recovery. Also provided solver functions to calculate various parameters, stress testing and calculation of greeks.Designed, developed and implemented a C++ threaded interface between Murex and Monis to price convertible bonds. This involved designing a threaded manager to distribute requests from Murex client to multiple servers using sockets and return results back to correct client, creating a Murex API interface to communicate with the manager and writing servers which communicate with Monis Analytics Library. This system, which is now in production, handles multiple requests concurrently. The manager has to be able to be resilient enough to continue if either a server or client aborts. The manager must determine if a server has timed out and re direct its requests to other servers. This system has provided a scalable solution to reduce the time taken to produce analytics for portfolios containing convertible bonds. Show less

Returned to develop and support same Real time bond pricing system. Implemented calculations for Strips pricing. Added interfaces to other systems. This involved C++, redesigning Sybase database tables, writing stored procedures optimizing run schedules and shell scripting.

Developed and enhanced Interest Rate Analytics Library. C++ System used Worldwide by standalone spreadsheets and other applications providing analytics for all Bond and Interest Rate Derivative instruments including exotics. This role has involved providing solutions for Traders and Quants. Calculations would include various methods of interpolating curves, Black Scholes, Asset Swap margins. Provided pricing algorithms for Averaging Swaps, including OIS and TME, Bond Index Priced Swaps as… Show more Developed and enhanced Interest Rate Analytics Library. C++ System used Worldwide by standalone spreadsheets and other applications providing analytics for all Bond and Interest Rate Derivative instruments including exotics. This role has involved providing solutions for Traders and Quants. Calculations would include various methods of interpolating curves, Black Scholes, Asset Swap margins. Provided pricing algorithms for Averaging Swaps, including OIS and TME, Bond Index Priced Swaps as well as managing Yield Curves and Volatilities. Optimized code for PV and Risk analysis. Provided new analytics library for Brazilian instruments. Show less

Team Leader. Developed and supported Real time bond pricing system. Performed major enhancements which included adding new pricing methods and allowing bonds to be added or changed at run time. This is the banks main bond pricing system using Tibco technology with global feeds to Reuters, Bloomberg and other ECNs. Back end processes were UNIX C++ with Sybase database. Front end consisted of Excel spreadsheets with Adfin. This also involved dealing with traders and prioritizing tasks.

. Supported Front Office Fixed Income Analytics Library used throughout the bank for price and yield calculations. Increase number of global markets supported from 100 to over 200. Changed processing as market conventions changed. Provided a COM interface to another system to allow curve forward rate processing for calculations of FRNs and Asset Swap Margins. This allowed for real time curves to be used using Reuters ric codes in spreadsheets. Libraries were used as a component of a number of… Show more . Supported Front Office Fixed Income Analytics Library used throughout the bank for price and yield calculations. Increase number of global markets supported from 100 to over 200. Changed processing as market conventions changed. Provided a COM interface to another system to allow curve forward rate processing for calculations of FRNs and Asset Swap Margins. This allowed for real time curves to be used using Reuters ric codes in spreadsheets. Libraries were used as a component of a number of internal trading systems and for stand alone Excel spreadsheet applications. System supported all standard instruments including Fixed, Floating, Inflation linked, callable, sinking fund etc. Constantly improved system to increase performance in both database access and calculation processing. The testing of this system included matching calculated results to Bloomberg using both Bloomberg terminal and Bloomberg batch interface API. This was a VC++ system with Sybase.Created API interfaces to NeoNet middleware system to use on a number of different platforms including NT, Sun and HP UNIX with SQL Server, Sybase and Oracle databases. This allowed for real time updates to various systems.Designed and developed Web HR applications for Reporting hierarchies and staff appraisal. Systems used Java servlet technology with HTML and JavaScript. This also included evaluating tools and building development infrastructure. Show less

Project Manager for Murex trading system. Products including OTC Interest Rate Derivatives, Bonds and Repos. System covered Front Office, Back Office, Risk and Accounting. Managed implementation of convention changes required for currency change to Euro. This required working with users in London and Frankfurt and vendor in Paris. Project including setting up Reuters Ric codes for real time price information and real time fixings.

Implemented Production control and Build procedures for Nostro reconciliation and Back Office processing package. Built entire infrastructure for development, test and production environments. This was a client/server system written in JAVA using CORBA (Visigenic) and Oracle RDBMS.

Project Manager of Market Risk System.Persuaded users to replace convoluted system of spreadsheets and developed system which includes Position aggregation, Historical Market Data, Dollars at Risk, Limit Processing, P & L Explanation and Back Testing. This system handled all interest rate and foreign exchange products, both vanilla and exotic.Project Manager of Database Development group. Schema design and development of various front and back office systems, which process Swap… Show more Project Manager of Market Risk System.Persuaded users to replace convoluted system of spreadsheets and developed system which includes Position aggregation, Historical Market Data, Dollars at Risk, Limit Processing, P & L Explanation and Back Testing. This system handled all interest rate and foreign exchange products, both vanilla and exotic.Project Manager of Database Development group. Schema design and development of various front and back office systems, which process Swap and option trades, market data including yield curves, volatility grids, PV and sensitivity calculations.Designed infrastructure for replication of trades and market data between front office databases worldwide as well as back office and risk systems locally. This meant as Traders entered deals worldwide they were transmitted in real time to the New York Back Office for verification and as Curve rates were updated in New York they were transmitted in real time to London, New York and Hong Kong front offices.Designed object oriented interface between client front end and RDBMS. Designed trigger mechanisms for database security and Audit Trails. Continually optimizing code and schema design for maximum performance. Designed C++ Classes for ODBC Interface. Show less

Design, Develop and Maintain Money Market Trading System. Object oriented system using both Sybase and Oracle Databases. This system performed intra-day position and risk monitoring for many security instruments including US Treasury, Canadian, Mexican and British. This system had its own position engine to allow client processes to subscribe and be notified of real time updates.Developed a Repo/Reverse workstation, which allowed deal capture reporting. Deal capture allowed for collateral… Show more Design, Develop and Maintain Money Market Trading System. Object oriented system using both Sybase and Oracle Databases. This system performed intra-day position and risk monitoring for many security instruments including US Treasury, Canadian, Mexican and British. This system had its own position engine to allow client processes to subscribe and be notified of real time updates.Developed a Repo/Reverse workstation, which allowed deal capture reporting. Deal capture allowed for collateral assignment credit checking and haircut calculations.Wrote base classes for reporting, allowing automatic break, summation and checkpointing. All reports now written within the company use these base classes. Wrote a Fax interface for reports allowing any report that can be printed to be faxed to any selected fax or print destination.Developed an interface to Telerate for world wide pricing information. Show less

Design, program, test and fine-tune an on-line Money Market Trading System, which processes various money market instruments, including Governments, Mortgage-Backed Securities and Municipals. Requires special processing for audit trails, concurrent back-end processing and error recovery.Organize and manage all batch processing by producing dependencies for approximately three hundred daily jobs. Performed extensive analysis for the decentralization of a General Ledger… Show more Design, program, test and fine-tune an on-line Money Market Trading System, which processes various money market instruments, including Governments, Mortgage-Backed Securities and Municipals. Requires special processing for audit trails, concurrent back-end processing and error recovery.Organize and manage all batch processing by producing dependencies for approximately three hundred daily jobs. Performed extensive analysis for the decentralization of a General Ledger System.Performed major enhancements and fine-tuned a Letter of Credit System. Show less