Quantitative IT development for ING’s commodity trading desk — building the forward curve and volatility surface infrastructure that underpinned daily pricing, hedging, and P&L reporting across oil, gas, power, metals, and agricultural markets.
What was built
Multi-Commodity Forward Curve Engine Forward curve construction for all major commodity asset classes: crude oil and products, natural gas, power (multiple European markets), base and precious metals, and agricultural commodities. Each market has its own settlement conventions, liquidity profile, and interpolation requirements. The engine handled all of these consistently within a single framework.
Volatility Surface Models Implied volatility surface construction for commodity options — calibrated to market quotes, arbitrage-free, and suitable for use in daily options pricing and hedging. Models covered standard vanilla structures as well as the more complex shapes that appear in energy markets.
P&L Explain & Sensitivity Analytics Daily P&L decomposition attributing moves to market risk factors — delta, gamma, vega, theta, and cross-effects. Sensitivity reporting consumed directly by traders for hedging decisions and by risk management for limit monitoring.
Trader Support Workflows Daily pricing and scenario analysis tools used directly by commodity traders. Scenario generation, what-if analysis, and deal structuring support.
Technical highlights
- Sophis Risque as the primary trading and risk platform
- C++ for performance-critical pricing components
- F# and PLT Scheme for functional curve construction logic
- Bloomberg API for real-time and historical market data
- Excel/VBA for trader-facing tools and scenario interfaces