|A framework to improve the resourcefulness and the reliability of applications
|Intensive exploitation of the scripting language proposed by CodeWorker, to add/modify objects into the framework with exactly no manual development. An adapted modeling language was specified for obtaining this result.
|starting from a structural and behavioral modeling of all financial objects handled by the Equity/Fixed Income derivatives pricer, fully generation of Business Object libraries in C++ (JAVA under construction). Once inserted into the framework, these objects take advantage of some interesting features, with nothing hand-coded:
- Ability to be serialized to/unmarshalled from a data format standardized by the pricer, easy to transfer from components of an architecture,
- Integrity control during the unmarshalling, built from the behavioral modeling,
- Partial integrity control while the object is incompletely defined, which enables implementing automatically GUI with a smart behavior,
- Exporting into a standard browser of the detail about all objects handled by the remote application, including the way to query the application,
- Introspection, functional and not technical like in JAVA,
- Database (schema, stored procedures, audit trail, Front-end for the client...),
Interest: a new financial object (OTC Derivatives product, special underlying) integrates itself with no human effort in the heart of the Information System and in the core of applications. A developer might have required a few days to do this job by hand, introducing more bugs.
|Environment: Windows NT, Rational ROSE 98, Visual C++ 6.0, JAVA, CodeWorker
|Creation of a tool to handle the content of Financial articles automatically
|Application written in C++, which has to recognize more electronic data sources and to provide more indicators.
|Retrieval of Financial information coming from newspaper’s articles or dispatches to extract some measurements, which may be exploited by automata working on Electronic Markets, or by analysts and traders. The indicators that provide the measurements are graded from historical quantitative data.
Use of the code generator CodeWorker to generate as much source code as possible, which acquire the extended UML design of the application to produce C++.
|Environment: Windows NT, Rational ROSE 98, Visual C++, cURL, CodeWorker
|Study for providing a straightforward Front / Back process into the System Architecture
|Participation in debates, interrupted during the merge with Paribas.
|Discussion about how to provide a distributed architecture that will allow accessing to Front Office and Back Office servers (databases, pricing tools) and services (monitoring of deals, management of positions, audit track, risk management...), and that will offer reusable components as much as possible (taking back of the reusable object library described above, which will be extended).
Client applications will subscribe on events that may interest them and be notified thanks to a message bus.
|Modeling of a UML design merging both FO and BO representations
|Taken part to the improvement of the UML FO design, which is presented in the next section, so as to converge with the OTC Back Office point of view.
- Taken into account proposals of all contributors for writing it out into the UML formalism,
- Writing of a document to help the understanding of the design and to justify some choices made in the design,
- Improvement of the reusable object library, carrying out some interesting modelling points.
|Environment: Windows NT, Rational ROSE 98
|Creation of a reusable objects library of our Front Office financial business world
|Dynamic library written in C++. Be alone on the project for two years.
|It provides a view of FO objects that satisfy various kinds of financial applications written in C++, offering high level reusable components. It composes the core of at least 35 applications and a lot of little one.
- Modeling of a UML design (extended of some keywords so as to improve the quality of the generated source code) from our Front Office financial world (about 450 classes),
- Intensive use of the code generator CodeWorker, which scans the extended UML design to produce C++ source code essentially, but a little JAVA too,
- Creation of components for extracting market data and deals coming from various sources,
- Creation of a component for describing scenarios and performing risk matrices,
- Creation of a communication layer between these reusable C++ objects and the pricer,
- Creation of an extensible scripting language to handle Business Objects with a great flexibility at runtime.
|Environment: Rational ROSE, Visual C++, SUN C++, Linux C++, Orbix, CodeWorker
|Study, design and implementation of a graphical tool for pricing listed and OTC vanilla
|Integrated as a DLL into an application that enables feeding market data into a market-data repository, written in C++. Project under my responsibility.
- Development of the communication layers between the C++ data structure of the host application and the pricer (mapping between these 2 worlds),
- Implementation of a GUI for handling listed options into a matrix, shared by strike and maturity, showing BS volatilities or premiums into cells, and allowing to define strategies for returning their global indicators,
- Implementation of a GUI for displaying OTC options, put together first by maturity, and then by strike, showing premium, BS volatility and all indicators for each of these options, and allowing to define strategies.
|Environment: Windows NT, Visual C++ 5.0, StingRay 6.0
|Study, conception and development of a graphical tool for pricing various options
|Application written in JAVA, intended to sales and traders. Project under my responsibility.
- Extraction of market data that were coming from an external data base via CORBA,
- Development of the communication layers with pricers (pricing-scripts generation),
- Predefined options were built from data populated into some GUI,
- Creation of payoffs via a graphical toolkit ; these payoffs were resolved thanks to a Monte Carlo (developed by the Research Team),
- Evaluation of these options, with or without indicators (gamma, delta...),
- Development of a solving operation to estimate any input of the product, the others remaining fixed,
- Evaluation of a portfolio, giving both global and detailed results.
|Environment: Windows NT, JAVA JDK 1.1.5 / 1.2, OrbixWeb
|Supervision system for commandment of air and sea forces
|Participation to a project of dozens of time men-year.
- Module for processing military-formatted messages: some various development tasks
- module of geographical visualization:
- Overhaul of the stereo polar display of maps,
- Implementation of a « super-zoom »: rewriting of some MOTIF functions, which were ineffective because of the high-level of zoom reclaimed.
|Environment: SUN Sparc, UNIX Solaris, C++, Xlib / MOTIF
|Component for geographical visualizations
|Participation to a project of 4 men-year, independant of the precedent one.
|Creation of a reusable Object library, which allow building quickly and efficiently any geography-based applications, working indifferently in standalone or in a Client/Server mode.
- Participation to the general and detailed design (UML formalism),
- Total implementation of the distributed mode (via CORBA) for the visualization and geographical object (vector / raster maps, geometrical figures) servers,
- Creation of a notification mechanism (catching of graphical events such as figure distortions or moves on a map).
|Environment: SUN Sparc, Windows NT, UNIX Solaris, C++, Orbix 2.0, Ilog Views
|Creation of a geographical application
|Built over the reusable Geographic-based Objects library seen above, and used in standalone.
Project manager assisted of 2 engineers.
|To visualize the best flight path of a missile used to destroy airport runways.
- Drawing of compulsory points that the missile has to follow on a MNT map (giving altitudes),
- Processing and visualization of the best flight path, depending on the kind of the compulsory points to visit and on the landscape configuration.
|Environment: SUN Sparc, Windows NT, UNIX Solaris, C++, Ilog Views
|Correctness support and improvement of an archive manager
|This archive manager was used for listing slides and monitoring the Business:
- Building of delivery slips for magazines,
- Making out invoices,
- Monitoring of settlements,
- Payment of press photographers,
- Reconciliation at the end of months.
|Environment: Windows 3.1, PROGRESS 5.0