Calypso Credit and Interest Rate Derivatives

Project: Calypso Front-to-Back Interest-Rate and Credit Derivatives

Second Phase: June 2007 — Present

Role: Head of Software Development and Architecture

Summary:

Implementaton phase 1a: Plain-vanilla EUR Swaps representing ca. 50% of current IRD trading volumes successfully brought live in Nov 2008
Implementaton phase 1b: Foreign-currency Swaps targeted for go-live June 2009
Implementaton phase 1b: Plain-vanilla CRD and exotic IRD targeted for go-live November 2009
Management of a 20 head development team for the Calypso implementation using agile development methodologies
Definition of individual component architecture across all fronts, for example:
- Market Data: Reuters DACS, custom curve generation
- FO: Trade capture, custom data, pricer measures, Risk, PnL, Kondor+ interface
- BO: Settlement, payments (SWIFT), accounting, regulatory reporting
- Downstream: EOD feeds
Sprint planning, task management, resource levelling, and managing deliverables
Project planning, management reporting
Participation in scope definition and refinement for future phases

Hardware: Sun V490
Operating systems: Solaris
Software: Calypso V9, Sybase, Java, SQL, JDBC, XML, FOP, SWIFT, Python, JUnit

First Phase: January 2007 — May 2007

Role: Senior Consultant

Summary:

Full Front-to-Back implementation of Calypso trading system for CRD and IRD
Management consulting to setup and and structure the strategic project:
- Project planning and timelines based on high level requirements (workpackage definition)
- Definition of project structure (workstreams) and sub-projects
- Assembly of the development team and introduction of agile modelling and development principles.
- Elaboration of configuration, environment, and release management methods
Setup of development environment, continuous integration process, packaging and rollout
Elaboration of automated testing methods: unit testing, functional testing, regression testing
Specification and setup of code quality assurance process: Code metrics, consistency checks
Specification of software development standards
Software architecture for realtime and batch interfaces
Evaluation of grid computing facilities

Company Info