c++ guy

Central Risk BookStoryline: C++ Developer, side quests: Python

C++ and F# quant dev, Quantitative strategies

IB ET Equity Algo C++ Developer

mathematical modeler, C++ developer- C++ library for pricing European and American options - multithreaded library for thenewest version of software (mainly used in algorithmic trading) - C++ framework for regression data. Extension of existing software that allows users tosave model parameters and trade data for a single calculation (simplified bug reportingand easy way to reproduce calculations locally). Created application to load the saveddata, produced framework for regression and unit testing- support of already existing implementation of option pricing framework (createdstatistics to check the accuracy and speed of implemented algorithms - solved bugs,suggested enhancements for American style option pricing)

C++ developer, placed in Paris metropolitan area

C++ and F# quant developer, quantitative analyst in Interest Rates Products group.- F# development of plugins for the stand-alone application in flow products valuation(swaps, swaptions, spread rate products). Plugins are used to display data as well asmake the whole application user friendly (more robust and less error prone + algorithmsto calculate default values based on the user inputs)- VS 2010 64bit migration – migration of all low level C++ components (used as ExcelCOM objects as well as valuation models) from VS 2005 to VS2010 - F# development of plugins for the application that values structured trades. Plugin wasresponsible for displaying trades and serving as the container of the data that is passedto the valuation model- Adding new functionalities to the existing valuation and pricing models (Excel + VBA)- Calculating and reporting correlation risk on the spread trades