Assist the Quant team in implementing new algorithms and supporting the existing ones. The development is mainly in C++ on UNIX and NT platforms, Excel Addins and VBA. Below is a list of some of the tasks undertaken
• Automating NT C++ builds, using Ant and VBScript.
• Implantation of a flexible application to retrieve deals in a preparatory and XML format for the exotic derivatives Group (coded in C++ and using ctlib to access the Sybase database).
• Implementation of the FX Leverage Coupon Swap Option valuation to the Excel Addins and the Risk System.
• Adaptation of the curve building system to use outright curves instead of minor curves, while maintaining most of curve manipulation routines unchanged.
• Implementation of the Interest Rates convexity adjustments (this adjustments where previously supplied and inputted manually by product control)
• Evaluate and test Murex VaR Module both historical and parametric.
o Importing historical risk factors into murex (zero rates, Swaption volatility, FX Spot etc..).
o Setting up the print job, batch, processing scripts for the VaR calculation
o Liaise with Murex to enhance the performance of the VaR Calculation.
o Set up and import into Murex he Variance-Covariance matrices cross different Risk Factors.

Cross Product Tiered Limits
Upgrade real time Credit Checking System for Cross product risking with tiered limits.
This project is being implemented by 4 developers in addition to one quant resource, my main contributions to this project are:
• Writing the Functional Specifications
• Implement simulated FX spot rates to value FX product trades instead of the currently implemented CEE methodology.
• Designing/Implementing real-time limit updates. Limit updates are fed from up-stream to a Websphere™ queue
Credit Risk Engine
This is Credit Risk System that runs twice a day in batch mode, valuing and risking most of the products traded by Barclays capital. The credit risk engine using Monte Carlo simulation of risk factors for evaluation the exposures and losses. My main contributions to this system were:
• Simplify and rationalise the mapping between product types and risking methodology
• Fixing/upgrading the system to handle daily resetting swaps (EONIA).
• Act as a second line support.
Market Risk Engine
This is a hybrid batch / interactive system that provides VAR results for the market risk. I was involved for short period (2 months) in this project to implement curve calculations for the Index linked Bonds.

Pricing Spreadsheets
Maintain and upgrade Pricing Excel workbooks for the Fixed Income desk, this involved loading the curves and other static data from Bloomberg and Reuters, and upgrading the pricing engine for FRN’s.
Trade Auto Execution on Bloomberg
This project dealt with publishing the bond prices from the front office to Bloomberg, in order for DAIWA clients to execute trades electronically. Prices were published for three categories of client (this is making used of the multi-level feature of Bloomberg). The categories differ by the bid-offer spread. Inforalgo third party was used to interface to Bloomberg. My main contributions to this project where

• Designing and implementing the Contribution Serve system, that acts as a hub between Front office pricing system and Inforalgo.
• .Implement a robust panic mechanism to allow trades to disable trade auto-execution if needed.
• Implement a intranet website for reporting bond prices, and their histories, this was for the benefit of Sales and Research departments.

I was involved in the implementation of the two main products of Workshare Technology namely DeltaView™ and Synergy™ . These products are targeted for the legal sector.
DeltaView Project
DeltaView manages and tracks insertions, deletions and moving text in a document. The Application is implemented mainly in MFC however all of the comparison and rendering functionality is delegated to a set of ATL COM Components. Most of the processes are made asynchronous hence an extensive use of multithreading programming.
DeltaView application is composed of User interface, RTF Comparer, RTF Reader/Writer and an ActiveX control for rendering the RTF.

• Debugged and optimised the code for post version 2.4 release as a member of the “fast track” team.
• Designed, developed and complemented the COM Interface API exposed by DeltaView. Emphasis was to make them “friendly” and stable for the use in VB and scripting languages(such as. full COM error support, implementation of NewEnum for collections).
• Improved and simplified the code to import various document formats. The solution I’ve opted for was to tap into the existing on MS Word Text convert DLLs. This resulted into in an easy to maintain and future proof base code.
• Solved existing difficulties with memory and interface leaks in using MS Word.
Synergy
This is a collaboration tool that allows many people to co-author a document. The document starts is life cycle from one main author then it is send around in a secure format to other contributing authors. Synergy consists of Sender receiver, editor and manager. In the current version of Synergy the collaboration is persisted in a file, From the point of view of technology, we have extensively used ATL COM. Some of my contributions towards this part of the project dealt with the followings;

• Implemented highly customised embedded MSWord document -with enhanced control- in the Secure Editor, through a combination of MS Word VBA template and ATL COM objects.
• Designed an efficient way (not global hooks) to filter and manage messages from the embedded document for tighter integration.
• Devised an efficient method of persisting/retrieving information (not using properties) in the MS Word document without invoking winowrd.exe process, hence a substantial gain in performance. This achievement revealed to be particularly useful for linking the document to the collaboration Objectivity database.
Other achievement /duties
• Design and implementation of a Visual Studio add-in to facilitate the implementation of unit tests.

• Design and development of Microsoft Office Solutions. This involved designing MS Office templates to automate document research creation for Equity Financial Markets and investment banks. The solutions are mainly component based design where all the components are implemented in VC++ ATL COM. These components are used by MS Word or MS Excel templates and the Workflow system.
• Workflow. The system comes in two “flavours” of the presentation layer Desktop and Web based. Both architectures consume the same set of business logic COM components that communicate with the data tier using OLEDB to access the database.
• Research note Creation/publication tools. These tools enhance Microsoft Office applications to help the analyst producing research notes in a structured way and compliant with the corporate image. The basic architecture uses MS Word or Excel Templates. The tools are supported by as set of VC++ ATL/MFC COM Components to provide additional features such as advanced GUI features and integration with the Workflow system.
I have led and successfully completed the following major projects.
Lehman Brothers
• Implementation of the Equity note, Sector note and Company Report with access the client’s financial database.
• Implementation of the Stored Procedures for the client’s Sybase database to extract the necessary data for the construction of the note and future refreshing.
• Sophisticated document mark-up, used in document compilation, generation of PDFs and index files for publication.
ING – Baring.
• Implementation of company note.
• Establish the architecture of the Workflow system.
• Design and implementation of the components binding the research documents to the workflow system.
Pinnaton Societe de Bourse.
• Design and implementation of the Company note and sector note in French and English.
• Integrate to the Client’s “custom made” Financial database.
CLSA
• Design and implementation of company note with full access over TCP/IP to their SQL database.
• Integration with Full Circle™ in the far eastern markets.
• Research and prototype implementation for the Object Oriented approach to research notes creation/archiving and publication.
Dresdner Kleinwort Benson Research (DKBR)
• Design and implementation of the Company note and Desk note
• Implementation of sophisticated document mark-up that revealed to be valuable when DKBR moved on to using XML.
WestLB Panmure
• Document recovery and repair utility for MS Word documents. This is a powerful and light weigh tool implemented in SDK windows and accesses the binary file format of Word Document to diagnose and repair the it.
ABN-AMRO
• Company note, sector note and Company book with full support of connection to the clients MS SQL database using RDO.
Other Achievements
• Team Leader. I was responsible of a team of seven developers with broad skill range. My main tasks are to analyse the project requirements and allocate human resource to specific project elements.
• Client liaison. liaise with clients during the whole life cycle of the project in order to advice on the adequate solution, gather the requirements, plan the project with possible milestones and phases.
• Research into advanced research document creation. This is role was primarily to look at advanced methods of marking up MS Word documents so as t to morph them efficiently to other formats with particular attention given to the XML conversion. Another main part of the research was to look into ways of enhancing-even replacing- MS Word as the primary capture application of document creation. All the crucial concepts of the research items have been proven with working prototypes.
• Design and implementation of the installers. I was responsible for the deployment strategy of our products. During the course of my employment with Mike Daines & Associates. I have opted for InstallShield starting with version 5 up to InstallShield Professional 2000. Our products as detailed above did require a highly configurable and flexible installer implementation in both deploying and un-installing. Some of the features that the installers did provide are:

• Access Database maintenance and upgrade from ver. 2 to ver 95.
• Simulation application for the postal services implemented in VC++ MFC and STL

• Learning Tree and the Training Directory. I have taught VC++ and Visual Basic.
• MS Office automation for research documents for ABN-AMRO and DKBR. MS Word Templates to capture financial data from remote Database servers and enforce corporate editorial guidelines.
• Trainer for Future Business College. I have taught VC++, VB, MS Office, Windows 95 and basic PC literacy also designed an administrative database in VB.