Unit Testing Experience
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
Lead a small team to create a software system for traders to manage their portfolio risk in real time
Designed code architecture, and implemented core features
Organized and motivated the development team, while providing code reviews, guidance, and knowledge to ensure the project ran smoothly