Antonio Di Sabatino
Solutions Architect and Front Office Developer with more than twenty years of experiences in Treasury Capital Markets and Risk Management enterprise, financial applications

We design and build quick, fully custom solutions as scalable, reliable and tailored for your business requirements.

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Projects


Company Istat Rome, Oct 2012
Istat SDMX Project
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


Company SDA Bocconi Milan, June 2012
Cross Currency Swap Deals pricing
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.
Technology:

  • C++ OOD for pricing libraries
  • C# DotNet to design the User Interface based on Microsoft User form


ThomsonReuters - R&D Rome, Feb 2012
TradeWizard Application
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.
Technologies:

  • 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


Research&Development Rome, Dec 2011
GeoIP Web Wrapper
We have developed a C++ Wrapper using the Facade pattern to encapsulate the GepIP Tools into classes. 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.


Research&Development Rome, June 2011
CGI Web Server Messages
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.


ThomsonReuters - ETL Adapter Rome, Sept 2010
Kondor Export Import -KEI-
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)


ThomsonReuters Rome, May 2009
Windows Analytics libraries porting into KSP
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.

ThomsonReuters Rome, Nov 2008
Mathematical Libraries
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

CAREFIN publisher

Benchmark with Bloomberg and Monies


ThomsonReuters Rome, April 2008
KSP and External Pricer
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 QuantLib integration in commercial applications.


Reuters Financial Software Paris, August 2007
Business Intelligence Module -BIM-
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.


Reuters - R&D Milan, June 2006
Kondor OpenTrade API and Numerix Integration
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.



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