Eight years building and maintaining pricing and risk infrastructure at one of Germany’s largest banking groups. The scope covered FX derivatives, interest rate products, credit instruments, and exotic structures — alongside the model validation and regression-testing frameworks needed to manage a large, complex book.
What was built
Pricing Models Implementation of pricing models for a wide range of derivative products: FX vanilla and exotic options, interest rate swaps, caps, floors, swaptions, credit default swaps, and structured products. QuantLib provided the mathematical foundation; custom C++ and C# components handled the bank-specific calibration, trade representation, and system integration requirements.
Market-Data Pipelines Automated pipelines feeding live and end-of-day market data into pricing and risk systems — yield curves, FX rates, volatility surfaces, credit spreads. Reliability and timeliness of these feeds directly affected the accuracy of daily P&L and risk figures.
Risk Calculation Components Greeks and scenario-based risk calculations feeding the bank’s risk management infrastructure. Integration with Sophis Risque, FrontArena, and MUREX as the primary front-office systems.
Model Validation Framework Independent model validation tools for verifying pricing model implementations against benchmark calculations and alternative implementations. Regression test suites enabling confident deployment of model changes across a large live book.
System Integrations Integration work connecting multiple trading systems — Sophis Risque, FrontArena, MUREX — with downstream risk, finance, and reporting infrastructure. Data flow, reconciliation, and exception handling across a heterogeneous system landscape.
Technical highlights
- QuantLib for mathematical pricing foundations
- C++ for performance-critical model implementations
- Java and C# for integration and workflow components
- F# for functional pricing and validation logic
- Sophis Risque, FrontArena, MUREX as trading platforms
- Oracle and MSSQL for data persistence