FO AnalyticsDeveloping custom valuation columns for Sungard Front Arena system utilizing Python and ADFL technologies.

Global Repo/Funding technology

Support and enhancement of fixed income trading systemExamining logs for messages and tracking down problem code and making patches.Wrote Fortran to C conversion utility to help with conversion.Environment: C, C++, Fortran, Perl, Bash, Oracle, Solaris, dbx, gdb, shared memory

Equity Derivatives GroupAnalyzed term sheets, as well as marketing material to create UI, and application logic to value exotic derivatives such as Himalayan, Altiplano, BestOfN, Reverse Converts and other OTC structured products. (C++, Design Patterns)Worked on a stateless application service that supports multiple exotic calculators, market data retrieval, structured notes' storage and loading, as well as control of calculations themselves. (C++, Design Patterns, MySql)Designed and implemented a multilayered architectures based on existing middleware and "XSD" code generation using Perl and Template Toolkit. (C++, Perl, XML)Created data service utilizing that provides market data such as prices, dividends, volatilities, correlations, currency spot rates, yield curves and other data needed to value most basket exotic derivatives. It is currently being used for all new projects, due to ease of use, as well as high scalability and robustness of the product. (C++, XML)Wrote an automated regression testing utility in Perl that allowed us to play back requests previous day production requests and compare service responses of a new against the old version of service to look for discrepancies, and possible new bugs introduced. (Perl)Participated in design and coding of online service monitoring with console room alerts with instructions on how to diagnose and fix problems such as licensing issues, service outages, dependency failures. Also provides statistical information on how many instances of services are running, roundtrip time. (Perl)Utilizing service-oriented-architecture to distribute load across many machines, as well as split calculation, data retrieval, and application logic into separate web services. (C++, XML)Environment: C, C++, STL, Fortran, XML, XSD, Perl, Java, Solaris, AIX, gSoap, SOA, Design Patterns, threading, MySql

Supported government bond trading desk users with Liberty Trading System and their systems. Winner of PaineWebber Team Quality Award, awarded for delivering reliable and innovative software . Developed Lottery Calculator that generated trades and calculates estimated P&L on the strip/recon bond transaction. Developed Trade Monitor application using C++/Motif/RoughWave DBTools to monitor trades sent to the BackOffice.Developed automated price and trade playback simulation into the Liberty Trading System. Environment: C, C++, ksh, SunOS, Motif, RougeWave DBTools, Sybase Sql Server, Informix