Istat SDMX Project
|| Rome, Oct 2012
We have been engaged to develop a software layer called Loader to parse huge SDMX data file and to load them into different database systems: SqlServer, Mysql, Oracle.
The purpose of the project is to store all data into custom tables.
We have also implemented an Aggregator Engine to extract a lot of data from database and aggregate them into xml file whit different logical view defined
by the operation users at runtime.
References to: SDMX Eurostat Format
Cross Currency Swap Deals pricing
|Company SDA Bocconi
|| Milan, June 2012
The project is a cooperation whit a professor to price several CCSwap deals whit different payoffs (CMS Spread, CMS Corridor)
using custom libraries developed in C++ OOD, whit Brigo&Mercurio references and using LFM for CMS swap rate.
- C++ OOD for pricing libraries
- C# DotNet to design the User Interface based on Microsoft User form
|ThomsonReuters - R&D
|| Rome, Feb 2012
TradeWizard is a Dotnet windows application to price complex structured products at the flight via NumeriX .NET API using
Kondor+ Static and Market Data.
The Wizard is able to receive Reuters feed Market Data via SSL API and connect to Kondor+ via Gateway Services.
Pricing Libraries: NumeriX .NET SDK 9.2.1
Market Data feed Handler Reuters .Net SSLCom 2.9
- Kondor 3.3 Gateway Services
Please see our screen shot,
TradeWizard Reuters Feed
TradeWizard Kondor+ Gateway Services
TradeWizard Swap price
GeoIP Web Wrapper
|| Rome, Dec 2011
We have developed a C++ Wrapper using the Facade pattern to encapsulate the GepIP Tools
We have integrated them whit the CGI Server Messages to manage web requests of geo location by IP address.
Please follow this link
for a quick demo.
CGI Web Server Messages
|| Rome, June 2011
The CGI Web Messager is a Linux server process written in C++, OOD implementing the Reactor pattern and the Chain of handlers to manage the web client
requests sent by html form.
The form will call the CGI Client who will forward the requests to CGI Server via Tcp/IP protocol. The purpose is to use this architecture to expose to the web
several services as database query, data analysis, mathematical computation using the power and flexibility of C++ Language.
Please follow this link
for a quick demo. The CGI server Messages will manage the requests of log in, of creation for new user and account checks.
Kondor Export Import -KEI-
|ThomsonReuters - ETL Adapter
|| Rome, Sept 2010
The KEI is a server side process running on Unix environment used by some European Banks to export the Deals and Static Data from different Kondor+ sources systems
and to import them to a single Kondor+ aggreagator.
The tool is used to consolidate different Kondor+ sources into Kondor 3.3 and running reports before the final Upgrade.
The tool is also used to provide liquidity, Var and Risk reports.
On live customers:
Societe Generale Bank (live on March 2011)
Ing Bank (live on May 2011)
Bank of Baroda - India (live on Oct 2012)
MEF - Ministery of Economy - Italy (live on Sept 2014)
Windows Analytics libraries porting into KSP
|| Rome, May 2009
We worked to make the porting of client financial libraries from windows (Excel) to
KSP front office product running on Unix environment.
This project has been quite complex and we worked for the following steps:
- Migration the libraries from Excel/Windows to Solaris OS.
- Development the KSP Wrapper to plug-in the external libraries into the application.
- Definition of Market Data and Template specifications.
|| Rome, Nov 2008
We have been involved in a project of partnership with our client to develop a quantitative framework for pricing several derivatives Products in
portfolio. The assets classes were Forex, Equity and Interest Rates.
We have used the BlackScholes Model for Forex and the LMM1F Model for Interest Rates payoffs. The Numerical Methods were MonteCarlo with Antithetic Mode and Binomial Tree.
Read more on
Thomson Reuters partnership with Carige Bank
The following document about the LMM1F implementation has been published by Centre for Applied Research in Finance (CAREFIN)
Bocconi University (Milan).
LMM1F Empirical Investigation
Benchmark with Bloomberg and Monies
KSP and External Pricer
|| Rome, April 2008
W worked for integration project in KSP Front Office Product.
We gained long experience to plug-in external pricing libraries in Kondor and KSP for NumeriX Model and customized payoffs, Inflations Models, Tibco RVD Wrapper and
integration in commercial applications.
Business Intelligence Module -BIM-
|Reuters Financial Software
|| Paris, August 2007
We worked as Technical analysis and development of several service handlers for KSP Product.
The purpose of the project was to provide the Risk and Consolidation Reports and to improve a business overview for the Risk Manager.
Kondor OpenTrade API and Numerix Integration
|Reuters - R&D
|| Milan, June 2006
We have been involved in the development of Equity Basket package and in the integration of external libraries in Kondor+ via OpenTrade C++ API and Custom Windows.
We have used Numerix
Framework whit BlackScholes Model and MonteCarlo numerical method.
About the calibration we worked for correlation Matrix and Quanto.