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Résumé d'expériences de Vincent,
freelance INFINITY habitant le Nord (59)

• Present HSBC, London
  Jan 2014 - aujourd'hui

  • Part of IT Quant team specialized in fixed income.
  • Involved in implementation of the new intraday off the market valuation project.
  • Involved in demising their emerging market system based in New York.
  • Involved in distributing the risk on a tenor point level.
  • Involved in improving their main structured product tool.
  • Involved in business analysis and project management of the cross currency swaps pricing.
  • Platform is C++/Java on Windows, using in-house grid and oracle, trade data warehouse is summit and murex.
  • Method is agile. Using git, scrums, continuous integration. Regression tools are Jenkins, python and boost libraries.

• Barcap, London
  Jan 2012 - Jan 2014

  • Involved in BARX FX option pricing development team, BARX is the main e-com platform of the bank.
  • Involved in integrating new time aware volatility surfaces for all FX products.
  • Involved in integrating new CSA aware curves, and new pricing models for all FX products.
  • Involved in implementation of new spreading strategies as per new regulation in US.
  • Involved in implementing new product e.g. range accrual strips
  • Involved in integrating new time aware volatility surfaces
  • Platform is C++/Java on Windows, using in-house grid and solace, database has migrated to Oracle this year. Parallel build tool is incredibuild. Regression tool is TeamCity.

• RBS, London.
  Jan 2011 - Jan 2012

  • Involved in core GDS development team, GDS is the main interest derivative and credit derivative platform used by RBS group worldwide. It provides front to back trade capture along with the market and credit risk. Platform is C/C++ on Linux, using in-house grid.
  • Involved in the migration to Sybase15, tackling technical debts, and address scalability issues.

• SCB, London.
  Jan 2010 - Jan 2011

  • Part of Quant Dev team.
  • Responsible of FX and IR exotic platform FABS, which allows deal capture and over night pricing for front office and risk manager users.
  • Optimized application and implement ad-hoc development to sustain dramatic growth.
  • VBA client, C++ engines and C# reporting tools. All high level scripting performed in perl.
  • DataSynapse grid of 400 nodes.
  • Trade data warehouse is Murex.

• RBS, London and New York
  Jan 2001 - Jan 2009

  • Involved in core GDS development team, GDS is the main interest derivative and credit derivative platform used by RBS group worldwide. Developed FO/MO/BO new functionalities, along with various optimization features on top of BAU tasks:
  • Designed and implement the usage of boost multicache speeding massively market risk reporting computation. Optimized the real time credit reporting using C streaming techniques.
  • Designed and Implement feed distribution leading to almost linear scalability of the O/N batch.
  • Implement 3 new products: Total Return of Swap (Credit) Spread Option and floating range accrual.
  • Participate in the code stabilization, e.g. fixing rogue memory behavior.
  • Designed and implement block delta result type, 33% faster than a normal delta.
  • Designed and Implement result compression leading to a gain of 70% in the overnight batch and the ability to replicate the database.
  • Designed and Implement multiple Market data feed per gridpoints on curve.
  • Implement sales system information in the existing system.
  • Designed and Implement the Jubilee change in UK holidays.
  • Designed and Implement the migration involved by the euro denomination.

• SwlB, Stuttgart.
  Jan 2000 - Jan 2001

  • Phased out (rewrote, optimized and analyzed) Kondor 1.8, 1.9 projects, developed by Andersen Consulting. Environment C/Embedded SQL, Stored procedures, scripting on Unix Solaris 2.6. Products: bonds and stocks, and warrants on the former underlying.
  • Analyzed and developed new programs for FO/MO/BO and risk department.

  Environment Kondor plus 1.9 and 2.0. Products all plain vanilla and derivatives traded within the bank. Technology used: Sybase and python.

• BgB, Berlin.
  Jan 1999 - Jan 2000

  • Developed for Finex, new pricing models (VBA on NT), for structured products, platform infinity 99.1
  • Developed GUI interfaces in Java (Visual Café).
  • Responsible for the EOD maintenance, developed optimization tools, rewrote perl/python based program into Sybase stored procedures.

• BHS, Berlin.
  Jan 1997 - Jan 1999

  • Managed the IT support (3 people) of market and credit risk project based on Infinity 5.2, developed and co-ordinate all batch development (End of day parallel processes) and maintenance, Sybase, Unix shells, C++, Infinity applications, P&L, MtM and VaR.
  • Managed Live Test system, operational preproduction environments.
  • Responsible for the upgrade project from infinity 5.2 to infinity 7.1 (20 people).
  • Developed and tested Index Amortizing swaps on Infinity 5.2.

• Deutsche Bank, Frankfurt.
  Jan 1997 - Jan 1997

  • Designed Bloomberg and Reuter interfaces for regional upload of Global Risk Control, swaps and bonds products, Project, Perl 5, Oracle 7, Unix AIX, Infinity 5.3 software.
  • Implement the interface in C++, lead a team of 2 developers.

• FX derivatives 5

  Financial derivative products
  aujourd'hui

  In house grid and DataSynapse 15
  Interest Rate Derivative/Credit Der. 15
  Java/Html 2
  Murex 2
  OpenCL/GPU 1
  Oracle 4
  Perl 6
  Python 5
  Quant Development 7
  source control (SCCS/CVS/Clearcase) 20
  Sybase 16
  Summit 3
  Team City 2
  Unix 15
  VBA 3
  Windows 7
  XML dev 2