Quantitative Developer
Current• Developed Pricing models for different security types like Equity Option, FX Option, Swaption, DDO, FX Correlation Swap, Cap Floors, Contingent CMS and Rate Swaps. Aided help in constructing, stripping and interpolating different Curve types and Interest Rate Derivatives. Worked on Calculating risk parameters and measures for all the firm’s trades. Ran the Var model and scenario analysis to generate different outcome for the trades in every portfolio.• On the Development side, Used C# as the main language to develop all the pricing models. Developed several SSIS package to maintain reports that send out the firm’s gross P&L to clients and responsible for running the End of Day valuations. Tweaked in some excel functions and wrote VBA code for traders to help them in Trade analysis.• Developed a new and easily configurable Framework using iTextSharp for reporting purposes.
