Calypso Interest Rate and Credit Derivatives
Project: Calypso Interest-Rate and Credit Derivatives Front-to-Back Implementation
January 2007 – December 2011
Role: Head of Software Development and Architecture
Summary:
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Management of the Calypso development team, with 15-20 team members
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7 succesful major production releases
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IRD native coverage: Forward rate agreements, single currency and cross currency swaps, swaptions. Features include: callable, cap/floor, in-arrears, quanto, reverse, spread…
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IRD exotics: Generic product representation with external pricer/risk integration
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CRD: credit default swap, single name, index, index tranche, total return
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Bond and Futures for consolidated front-office position and risk management
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Central Counterparty house and client clearing for IRD swaps via London Clearing House and Markitwire
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Front-office: pricing, fo risk/reporting, trade capture, trade extensions, validations, external pricer integration, Kondor+ trade feed for bonds/futures shadowing, pricing/risk using grid computing technologies and the Calypso middletier infrastructure.
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Middle office: market conformity, risk reporting, profit/loss calculation
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Market Data / Statics: Reuters integration, MarkIT credit curves, WM bond statics feed
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Back Office: confirmations, accounting, regulatory reporting, backoffice reporting, trade lifecycle handling, withholding tax (Abgeltungsteuer)
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EOD/Reconciliations: end-of-day processing/reporting incl. complex scenario calculations within 3 hours, xml-based data model for transporting deal information, more than 40 reconciliations implemented
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Over 30 interfaces, including LCH, MarkitWire, Merva/SWIFT, DTCC, TIB/RV, Platform Symphony, printer, fax, email, ftp, webservices, Excel…
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Technologies: Calypso V11, Java 6, Sybase 15, XML/XSLT, Spring, Hibernate, EHCache, JMX, ActiveMQ, Velocity, Xstream, Eclipse, EasyMock…
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Planning and task management based on agile methodologies
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Daily production support and monitoring
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Code Metrics: 5000 classes live, 28000 methods, 300000 non-commented source statements (NCSS).
Milestones:
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June 2007: Prestudy complete, project phase begins
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October 2008:
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Plain Vanilla EUR Swaps and FRAs with Calypso V9
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June 2009:
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foreign currency and cross currency IRD swaps/FRAs
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withholding tax and cash management extensions
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bond/futures/fx shadow deals
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November 2009:
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single name, index and index-tranche credit derivatives
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IRD swaps with extended features
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Upgrade to Calypso V10.
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June 2010:
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IRD Options (cap/floor/collar), swaptions
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IRD swaps with complex features and external pricing integration
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MarkitWire integration for IRD swap deals
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November 2010
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Handling of structured linked deals (intra and inter-system)
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Credit-linked swaps, first-to-default CDS, total return swaps
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upgrade to Calypso V11.
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July 2011:
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Exotic IRD swap coverage using generic swap XML deal representation and external pricing integration
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Bespoke CDO
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Collateralization-dependent pricing
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September 2011:
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London Clearing House (LCH) central counterparty (CCP) for house clearing
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November 2011
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CCP client clearing software design and architecture complete (in-house solution)
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CCP client clearing prototype ready. Production release planned for March 2012
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Spare Time…
