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:

  • Management of the Calypso development team, with 15-20 team members
  • 7 succesful major production releases
  • IRD native coverage: Forward rate agreements, single currency and cross currency swaps, swaptions. Features include: callable, cap/floor, in-arrears, quanto, reverse, spread…
  • IRD exotics: Generic product representation with external pricer/risk integration
  • CRD: credit default swap, single name, index, index tranche,  total return
  • Bond and Futures for consolidated front-office position and risk management
  • Central Counterparty house and client clearing for IRD swaps via London Clearing House and Markitwire
  • 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.
  • Middle office: market conformity, risk reporting, profit/loss calculation
  • Market Data / Statics: Reuters integration, MarkIT credit curves, WM bond statics feed
  • Back Office: confirmations, accounting, regulatory reporting, backoffice reporting, trade lifecycle handling, withholding tax (Abgeltungsteuer)
  • 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
  • Over 30 interfaces, including LCH, MarkitWire, Merva/SWIFT, DTCC, TIB/RV, Platform Symphony, printer, fax, email, ftp, webservices, Excel…
  • Technologies: Calypso V11, Java 6, Sybase 15, XML/XSLT, Spring, Hibernate, EHCache, JMX, ActiveMQ, Velocity, Xstream, Eclipse, EasyMock…
  • Planning and task management based on agile methodologies
  • Daily production support and monitoring
  • Code Metrics: 5000 classes live, 28000 methods, 300000 non-commented source statements (NCSS).

Milestones:

  • June 2007: Prestudy complete, project phase begins
  • October 2008: Plain Vanilla EUR Swaps and FRAs with Calypso V9
  • June 2009:
    • foreign currency and cross currency IRD swaps/FRAs
    • withholding tax and cash management extensions
    • bond/futures/fx shadow deals
  • November 2009:
    • single name, index and index-tranche credit derivatives
    • IRD swaps with extended features
    • Upgrade to Calypso V10.
  • June 2010:
    • IRD Options (cap/floor/collar), swaptions
    • IRD swaps with complex features and external pricing integration
    • MarkitWire integration for IRD swap deals
  • November 2010
    • Handling of structured linked deals (intra and inter-system)
    • Credit-linked swaps, first-to-default CDS, total return swaps
    • upgrade to Calypso V11.
  • July 2011:
    • Exotic IRD swap coverage using generic swap XML deal representation and external pricing integration
    • Bespoke CDO
    • Collateralization-dependent pricing
  • September 2011:
    • London Clearing House (LCH) central counterparty (CCP) for house clearing
  • November 2011
    • CCP client clearing software design and architecture complete (in-house solution)
    • CCP client clearing prototype ready. Production release planned for March 2012

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