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