A decade-long engagement building and evolving the core technology platform for a credit-focused asset manager. The work covered the full spectrum from front-office pricing tools through to NAV calculation, regulatory exposure reporting, and market-data infrastructure.
What was built
Pricing & Exposure Tools Custom pricing components and exposure calculators for credit portfolios — CDS, bonds, structured credit — integrated with Sophis Value as the primary position-keeping system. The tooling gave portfolio managers real-time visibility into portfolio risk across multiple dimensions.
NAV Calculation Engine End-to-end NAV calculation modules handling valuation, accruals, fee calculations, and fund accounting workflows. Automated reconciliation against prime broker and administrator figures, with exception handling and audit trails required for regulated fund operations.
Market-Data Pipeline Inbound market-data pipelines consuming multiple vendor feeds, normalising and storing time-series data on Cassandra. Designed for reliability and auditability — every data point traceable to its source with full timestamp lineage.
Sophis Value Integrations Deep integration work optimising and extending the Sophis Value installation: custom adapters, workflow automation, and performance tuning across a large book of credit instruments.
Technical highlights
- C# / WPF desktop applications for trading and risk teams
- WCF services for internal data distribution
- Oracle and MSSQL for relational data; Cassandra for time-series
- Matlab and R for quantitative model prototyping and validation
- Jenkins CI/CD pipelines
- NHibernate ORM layer