Consultant, Consultant, Consultant

* Working in one of the world's most important reinsurance locations was brought in to assist a team
of developers to complete a proprietary financial pricing tool for a small reinsurance company
specializing in catastrophic reinsurance.
* The role, involving .NET and SQL Server development, also required substantial investigations into
architectural features and deficiencies in the software and to make (and implement) recommendations
for improvement as well as create enhancements and new features.
* Guidance and expertise provided into the company's use of WinForms Infragistics controls and other
third party products and the logistics into moving to WPF.
* Familiarization with the pricing methodology was also gleaned and how AIR (Applied Insurance
Research) and RMS (Risk Management Solutions) models are used to calculate loss probabilities.

* Working for the world's largest money manager, was involved in the analysis, design, and
implementation of an Exchange Traded Fund (ETF) Front Office trading system to replace a legacy VB6,
SunGard system.
* The system was built in 3 tiers utilizing Visual Studio 2008, C# 3.5 and SQL Server 2005 with
heavy use of WCF, LINQ (and LinqPad), WPF, the ADO.NET Entity Framework, and Infragistics controls.
Interfaces with Excel spreadsheets and PDF files were also a component of the system.
* With a team of 6 worked on the architectural design of the system which involved selecting the
technologies to use, the communication techniques needed between tiers, additional utilities
required, database design and normalization.
* The system involved the creation of complex trade entry (and management) screens along with
Reporting, Compliance, and Maintenance screens. The business layer was designed in a highly modular
manner with multiple services communicating with the UI through WCF.
* The switch in mindset needed to code in WPF along with familiarisation with the
Model-View-ViewModel (MVVM) design pattern was gained while utilizing WPF.
* A business insight into the complexities of tracking world indexes was gained as was the needed
interface requirements for obtaining price (and corresponding control) information for securities
(both equity and fixed income) based globally.
* Creating multilingual systems was also a component of this system as all numerical information and
dates had to have their format correspond to the user's language settings. Similarly all
calculations and data entry for particular funds, securities, and screens had to be in
synchronization with the associated country's holiday calendars, legal system, and other specific
requirements.

* Responsible for integrating a new Energy Trading & Risk Management system (ETRM) with a large
energy trading company's other internal systems namely SAP (ECC for accounting, BI for business
warehousing), Rome (Credit Risk), ZEPower (prices), ICE (deals).
* Integration involved fully understanding the new system's table structure, the expected output
(Canonical XML data structures to be inserted/uploaded into a staging table), the middleware to send
the output to the downstream/upstream systems (Oracle ODI and SAP PI), the nuances of the internal
systems, how to integrate the new system's task scheduler to initiate custom written code (VB.NET
with SQL Server), how to cross-reference the different systems' data values (GL accounts,
commodities, counterparties, locations, etc.), other integration issues, and finally a good sense of
the business (Trading, Risk, and Accounting).
* Natural Gas and Power were the main commodities to be traded with the new system (Encompass) but
similar work was being taken with a new Oil and NGL (Natural Gas Liquids) system (SolArc RightAngle)
for which future integration work would be similar, and communication was undertaken with this team
in order to provide a "sameness of approach". The initial idea was to have one new all-encompassing
Gas-Power-Oil system but due to lack of market availability for such a system the decision was made
to go with the two new systems.
* Some limited input was provided into the moving of the existing ICE interface to the new FIX
protocol.
* Architectural appreciations and experience was gained into the overhauling and replacement of
legacy systems (many front-end systems, OpenLink's Endur, etc.) to a new architecture to enable cost
savings and operational efficiencies.
* Business configuration of the new trading systems was undertaken.
* Extensive transformations of SQL queries into XML using all of TSQL's RAW, AUTO, EXPLICIT, PATH.
* Great care was used for unit/regression testing and Quality Centre was used for the tracking of
errors.
* Some training and investigations into Visual Studio 2010, C#4.0, and WPF was undertaken.

* While ordinarily involved in the financial aspect of the commodity business (see previous
assignment) had the opportunity to work with a team of developers and business representatives to
learn some of the logistical and operational side of the business.
* The system, built on time and on budget, allowed the business to save a substantial amount of
money in the costs of transporting and accommodating technical staff to the sites of large oil
deposits where on-going extraction is taking place in the world's largest oilfields.
* The system was built using the CSLA (Component-based Scalable Logical Architecture) .NET Framework
along with SQL Server 2005. This framework, which can be used as the basis for any n-tier
application makes use of all of the advanced features of .NET including heavy use of the new LINQ
features.

* Responsible for creating Profit and Loss (P&L) real-time systems for the company's products
including commodity futures (including averaging futures, FX, cash and physical settlement), options
(European and Asian (TAPO) styles), and physical trades. Technical work was done utilizing C#.NET,
SQL Server (including Analysis Services (SSAS - OLAP cubes), Integration Services (SSIS), and
Reporting Services (SSRS)), Excel VBA and C++ quant libraries. Multithreading was also utilized used
in the development of the project.
* P&L attribution (due to foreign exchange, prices, interest rates, volatilities, trade changes) was
also performed and involved calculating and making use of the financial Greeks as well as utilizing
SQL Server Analysis Services (i.e. OLAP cubes) for storing and displaying various data slices.
* Extensive working with Reuter's data feeds and allowing real time capture of prices, FX rates,
interest rates, and volatilities to be used in the P&L and other calculations. A market data capture
system was built in order to bypass the legacy AS400 systems.
* Due to extensive experience with Historical Value At Risk (HVAR) was able to offer advice in the
company's possible use of this compared to its current Statistical Value At Risk (where experience
was also gained). In addition, advice was provided into the handling of pricing and risk aspects of
Fixed Income products due to prior experience in this area.
* Performed a large amount of quantitative analysis during this role which included creating quant
libraries to price the products and handle such mathematical concepts such as Greeks, quanto
corrections etc.
* Other aspects to the role included the writing of functional/technical specifications, gaining
exposure to the London Metal Exchange (LME), COMEX (and other exchanges), and having some contact
and discussions regarding products such as Murex(with Actuate reporting), FEA VARLib, FIX protocol,
and Brady Trinity.
* Gained insights into other commodity types such as base metals, precious metals, plastic, steel,
natural gas, power, petroleum, coal, emissions credits and ethanol.

* Instrumental in determining the architecture of a banking system including research and coding
proof of concept scenarios. This involved working with the LLBLGen O/R mapper in concert with C#
ASP.NET 3.0 and Visual Studio 2008 (and the .NET 3.5 Framework) as well as some of the new C# 3.0
tools such as LINQ and the LINQ O/R designer. Also used the new WPF to set up basic UIs and
experimented with the new WCF features.
* Researched the feasibility of using WebORB to provide an interface between a FLEX front-end and a
C#.NET/SQL Server 2005 backend for a major banking system. Also created the data model and set up
the SQL Server 2005 database for the same system.

* Working as a member of a C#.NET/SQL Server 2005, Visual Studio 2005 Team Foundation Server team
was involved in the design and coding of a large multi-national, multi-threaded (Europe-Wide)
computer system. Heavy use was made of Microsoft's Composite UI Application Block which allows a
corporation's different modules to all function under the same shell and share common User
Interface characteristics. The system's intent is to allow the company's numerous branches to
operate autonomously (previously permanently tied to a central SAP system), but still receive and
send master data (customer, order information, etc.) via MSMQ and IBM's MQ-Series. The main skill
learned on this project was to how to use Microsoft's preferred approach to tie together a large
corporation's different systems into a functioning whole.

* Technical team leader (and primary developer) in the design and development of a C# / SQL Server
2005 Quantitative Risk Management System for a major financial institution.
* System was developed in C# 2.0/SQL Server 2005 (using Visual Studio 2005) as a multi-tiered
application with pluggable components allowing the company to change their market data providers
and/or Treasury System with ease. Date generation for all deal types was also centralized allowing
the core pricing system to consist of very lean and uncluttered financial models.
* Functionality built into the system included Historical Value At Risk (VAR), Profit & Loss, Stress
testing (for abnormal market conditions), and Greek values (Delta, Gamma, etc.) for hedging risk.
* Great effort was undertaken to ensure the system was built with modern Object Oriented techniques
and appropriate Design Patterns where needed. New features of C# were utilized (such as generics),
and some investigation into C# 3.0 was undertaken.
* With a degree in Mathematics was able to work very closely with the Quantitative Analysts (Quants
* all PhDs) in the development of the various financial pricing models. The models created were for
pricing of Bonds, Money Market Instruments, Foreign Exchange, Mortgages, and numerous derivatives
such as Options (on Bonds, Futures, Swaps), Futures/Forwards (Interest Rate & Foreign Exchange),
FRAs, Cap/Floors, Repos, and Swaps (numerous types). Fincad functions were used for some of the
models whereas others were from first principles.
* Gained extensive experience in Quantitative Finance - Black Scholes (and related formulas),
interest rate & volatility bootstrapping, differential equation problems (such as using
Newton-Raphson methods to solve for Caplet Spot Volatilities in the pricing model for Cap/Floors).
Also extensive study into the underlying theories that underpin modern Financial Engineering such as
Brownian motion, Ito's Lemma, stochastic processes, etc.
* Was instrumental in the internal vetting of the numbers and preparing the system for external
vetting to be performed by Professor John C. Hull (Author of Options, Futures, and Other
Derivatives).
* Extensive work performed in transforming raw Market (Bloomberg) Data into various "curves" such as
Basis & No-Basis Interest Rate Zeros Curves, Foreign Exchange/Interest Rate Forward/Future Price
Curves, FX Spot, Prime Rates, and numerous Volatility Curves (CAPS, Forward Spot, Swaption).
* Interaction with traders to further understand Deal structures and parameters.
* Responsible for transforming the Treasury System (Richmond - now owned by Trema) raw data as
entered by the Front Office traders into a format which can be read into the Risk Management System.
This involved arranging the various deals into groups which could use similar pricing models, and
then using a Factory Design Pattern to instantiate the correct class to obtain the Mark to Market
prices over the last 501 days (simulations). Also determining which way the cash flowed on each deal
to ensure that the pay and/or receive sides were populated correctly and the correct sign
(positive/negative) was obtained for the price.
* Extensive work on Date Generation. This involved handling all sorts of date problems such as
none-standard "stubs", Custom dates, Leap Year issues, and so forth.
* Programmed the Quantitative Risk Management System to run both automatically during the night
(once Market Data had arrived) and also in a manual mode in case of problems. This involved setting
up the system for logging to SQL Server as well as screen output for manual runs.
* Later split out the system into two subsystems to handle both Curve Generation and the Mark to
Market prices of the Deals. This involved some creative communication between the systems to ensure
that errors did not occur.
* Exposure to the different types of Risk a financial organization faces such as Market, Credit, and
Operational risk was gained as was learning to build a system to support new legislative
requirements such as Basel.
* Handling the "go-live" logistics involved with the release of a new system including
user-training, operational issues, fixes, enhancements, etc.

* Developer/Designer for the implementation of IBM's Insurance Application Architecture (IAA) into a
Service Oriented C#.NET WinForms application using Visual Studio 2005 and IBM's Rational ClearCase,
MQ Series, and Rational Rose as tools. Agile methodologies were heavily used throughout the project.
* Involved in all aspects of the multi-tiered architecture. This included the building of the User
Interface (with heavy use of User Controls), Web Services for the UI to communicate with the queue
in an Enterprise Service Bus scenario, C# coding of the IAA financial classes, and the developing
and interaction with an Oracle 10g database running on HP-UX.
* Was responsible for developing Best Practices to be used by the various project teams and
documenting these onto Microsoft SharePoint. Also setting up NUnit tests where required.
* Involved in several architectural decisions such as the way business layer objects would be sent
to the UI, design/development of C# classes for interfaces to the major banks, and assisting in the
design/development of a persistence layer between an Object Oriented system and a traditional
(Oracle) relational database.
* Further skills developed here included an in-depth understanding of reading UML diagrams and
coding from them, research into and refactoring code utilising Design Patterns, .NET CruiseControl,
SOAP extensions, XML, SQL Navigator 4 for Oracle.