Mohammed B.

I have joined this small, but dynamic, company to help with developing advanced models for their FX pricer. The models to be added are Local Vol and Stochastic Vol models. My contributions can be summarised as follows: Design and implement a data layer in C++ (boost + stl) that manages market data object and contracts. This data layer exposes a handle based interface to XL for the Quant team to test the models. The data layer also acts as caching manager for intermediate calculation, such as storing the

Build a full and generic Stress testing, where the bump definitions are stored in a shared xml document and used by excel through an Addin. Users can edit and collaborate on the bump definitions and scenarios structure the the provided editor written in MFC C++. Design and implementation of a C++ cross platform "official" stress testing system using XML as the bumps repository. The system is scalable as it can distribute the PV and risk calculation to several processors. Design and implementation of a C

Automated NT builds using Ant, driven by VBScript. Designed and built the Exotic & swap deals retrieval system from Sybase database. Database access written around the ctlib library. The module was used for both the Risk engine and the Excel Add-in. Implemented the FX Leveraged Coupon Swap Option valuation to both Excel add-in (XLL) & the Risk engine. Implemented the convexity adjustments calculation for the curve processing module of the Risk engine. Restructured the curve processing for the Risk engin