- I have extensive IT experience in each part of software life cycle from design and development to testing and support.
- Implemented various Mathematical Models with VB, VBA/Excel, C, and C++.
- Optimization Methods, Advanced Mathematical and Statistical Techniques.
- Financial Instruments/Derivatives (both Equity and Fixed Income).
- Excellent technical and communication skills.
- Options Pricing, Greeks, Equity Trading System Executions, and Trading Protocols (Ouch, Itch, FIX)
- Fixed Income Products (Bonds, Mortgage Backed Securities, Analytics, Credit Derivatives), and related Derivatives Instruments.
- ECN Operations (Island ECN)
- Regression Analysis, Numerical Methods Techniques, Linear and Non - Linear Programming, Partial Differential Equations, Finite Difference Methods, Etc.
Languages: Excel/VBA, Pascal, Fortran, Scheme, Matlab, Visual Basic 6.0, C/C++
Database: Informix, Sybase, SQL Server 2000, Microsoft Access 2003
Excel/Powerpoint/Word Addin Developer
- Develop PowerTools features into Confidential Office addins (for all Microsoft Office versions ), for creating & maintaining Office files with Confidential service d Confidential . Some of the powertools features are:
- Refactoring the existing VBA code to improve performance and implement new features as per the business requirements.
- Support Confidential 's external and internal users using Web based screen sharing applications.
- Coordinate with the QA teams prior to deployment process.
- Provide demo to Confidential 's Sales & Tech reps when new features are added to Office Addins.
Environment: VBA(Excel,Powerpoint, & Word), Access DB (Office 2003,2007,2010,2013,2016, both 32 & 64 bit), Confidential APIs, Source Control tools like GitHub, TortoiseSVN
Front/Middle Office Support
- Supporting the automated Confidential Pricer EXCEL Application Tool (built in-house), extensively used by the EM traders/salesperson from trade capture to EOD operations. This real time application uses the bond analytics libraries for pricing/risk and integrates the Reuters/ Confidential infrastructures for publishing prices to external clients and subsequently feeds to various downstream systems.
- This involves daily user interactions and prioritizing the business requirements and coordinating with the development/QA teams.
- Creating adhoc EXCEL based tools for reporting, position reconciliation and proactively monitoring the potential errors.
Environment: Excel/VBA, SQL Server2005 (T-SQL, Stored Procs), DB Artisan
Front Office (Mortgages Desk) Support
- Providing technical support in trading and research
- Creating EXCEL based applications and enhancing the existing spreadsheets.
- Interfacing with third party vendor (Blackrock and RiskSpan) for the daily risk measures.
Environment: Excel/VBA, Sybase 12.5 (T-SQL, Stored Procs), DB Artisan
Application Support & Rapid Application Development
- Provided frontline support to Derivatives Product Control Group in the day-to-day operations.
- Development of Accounting reconciliation system for various derivatives products including IRD (Interest rate derivatives), SFD (Structured Fund Derivatives), CRD (Credit Derivatives), EQD (Equity Derivatives). This Excel based tool helps the product control users to identify different breaks (like, NPV, Cash & PnL) between Front Office Calypso trading system & General Ledger (GL).
Environment: Excel/VBA, Sybase 12.5 (T-SQL, Stored Procs), DB Artisan, Control-M Job scheduling, Perl
Tool: Developer/Application Support
- Provided frontline support to both Front and Middle Office in GSF desks.
- P&L Attribution of Credit Default Swaps(CDS) on Asset Backed Securities(ABS) using the in-house developed analytics and the cash flows from Confidential & Intex.
- Credit Events Tracking of ABCDS (Asset Backed Credit Default Swaps) as per the ISDA Confirmation for PAUG (Pay As You Go) template. This involves the use of d Confidential feeds from the third party vendors (like Markit & Lewtan)
- Enhancement of Excel based HedgeSheet as used in the sales and trading of ABCDS products and their subsequent migration to a more integrated environment.
- Provide support to MM CLO (Middle Markets CLO) structuring desk by integrating feeds from the LoanTrak (a third party application) and their subsequent flow to the global market risk system.
- Creating an Excel based Applications for providing EOD close feeds related to market and credit risk as required by the risk team.
Environment: Excel/VBA, Sybase 12.5, DB Artisan, Windows NT Job Scheduler
RAD (Rapid Application Development) Developer & Support
- Served as Quantitative Developer in the Debt Capital Market Groups.
- Provided quantitative and technical support to traders, salesman and business analysts.
- MIS Reporting of Govt. and Agencies Bonds.
- Generated automated reports for US Treasury Quote Sheet, US Agency Quote Sheet, US Strips Quote Sheet which includes price, yield, val01, yield change, etc.
- Generated Historic/LIBOR Rich/Cheap analysis reports for US Government Bond, US Agency Bond, US Agency vs. Treasury, US Strips Bond. Each report provides rich cheap value, convexity, modified duration, historic rich cheap spread analysis for a set of Bonds Flippers Identification for the Primary Syndicate Desk
Environment: Visual Basic (6.0), Excel/VBA, MS Access, Sybase 12.5, DB Artisan, Business Objects 6.1, Windows NT Job Scheduler