Django Rest Framework Experience

National Bank of Canada logo

ComOptionAnalytics

National Bank of Canada

Jun 2019 - Aug 2020

Created the ComOptionAnalytics system for one of the banks hedge funds. This system analyzes option contracts, giving real time pricing and risk profiles

This system includes:
  • A central server which pulls market data from various sources to provide real time data analysis
  • A tool for volatility surface calibration. Using this tool, traders can calibrate their volatility surfaces to the market using a variety of methodologies. This includes calibration based on term structures, volatility smiles and seasonal decay
  • A pricing engine which evaluated options in real time. The optimized pricing engine was implemented in multithreaded C++, to keep the system up to date with volatile markets
  • A tool for analyzing potential trades
  • Several more tools for gathering, evaluating, and analyzing market data

Applied his knowledge of test-driven development, requirements engineering, and MVC architecture to make the ComOptionAnalytics system fast, accurate and easy to use