antonio di sabatino · forex (accumulator, tarn, fx dual currency deposit) equities notes (swiss...

Front Technical Analyst / Quant Developer 27/12/2018

Dr. Antonio Di Sabatino

Maths&FinTech

Summary:

Senior FinTech developer with 19 years experiences in enterprise Capital Market and Risk

Management applications and expertise of Structured Products and exotics derivatives

instruments.

Analytics and Quant profile for Banking & Finance Industry of Software Production and

Research with professional experiences of working in CapGemini (1 year) , Nextra SGR (1

year), Thomson Reuters (10 years) and Finastra Group (7 years).

The key strengths for success:

Financial background whit over nineteen years professional development experience in

banking environment on Front2Back commercial applications: Kondor+/KSP/Fusion

Risk

Mathematics degree with extensive experiences in analysis for pricing of Structured

Products and exotics derivatives. Statistical analysis and working on Stochastic Models

( Normal, Log Normal ) to build the probability distribution of data set.

Worked close to the operational end-users, quant researchers, engineers and business

analyst to receive the functional specification and translate them into technical solutions

(products, quantitative measure and quality of service )

Address: Rome - (Italy)

D.O.B: May, 28th, 1973

Mobile: +39 339-2311002

Email: [email protected] Nationality: Italian

Status: Married

mailto:[email protected]


Building a cross asset quant library from scratch to deploy maths stochastic models

(Black-Scholes, Garman-Kohlhagen HW1F and LMM-1F ) using different Numerical

Methods as for MonteCarlo, PDE and Lattice.

Open Payoff approach to adapt the payout conditions on the fly according the

changing markets conditions.

Experiences in the implementation of pricing models and the configuration of whole

lifecycle of Structured Products in Kondor/KSP - commercial front office applications -

starting from Deals & Entry (STP), Pricing/Greeks, Events Management (Barrier

touch/Auto-Callable) , Risk Factors configuration and VAR computation.

Long practice experiences in implementing Structured products cross-asset classes:

Forex (Accumulator, TARN, FX Dual Currency Deposit) Equities Notes (Swiss SIX

Markets), Equities Option (Asian, DARO, Barriers, Digital), Equities Basket (Coupon

Barrier, Auto-Callable, Reverse Convertible conditions ) and Interest Rates

(including Libor, CMS, CMS Spreads).

Extensive experience of working for Object Orientated Programming (OOP) and

Design pattern: Singleton, Abstract Factory, Compositor, Visitor, Adapter, Chain of

Responsibility, Command, Observer, Façade, Proxy, Functor Objects, Status.

Long experiences of support in re-factor and enhance existing production systems.

Ability in Review and analyze requirements.

Extensive experience and knowledge of Server Side development languages including

different technologies: C/C++ (Unix/Linux/Solaris/Windows), C# DotNet (Windows)

and Java 1.8 and QA (Standard of Quality) using Python to implement Testing Engine

and tools for facilities..

Front Office System Integration (real-time interfaces): experiences in designing and

delivering in live of ETL tools with complex Transformation Engines (Broker

Messages)

Analysis Engine: development and plug-in financial libraries into Front Office

applications ( Kondor/KSP )

RDBMS: Database Design via DDL. Expertise in building complex SQL-Query to

support custom financial report requirements. Long experiences in writing and

tuning complex sub queries, T-SQL Stored Procedures, functions, and Triggers. .

Education

Degree/Diploma Discipline Institute

Doctor in Mathematics

ranking 107/110 Mathematics

University of Studies in L’Aquila

(1992-1997) - Italy -

Post degree Master

“Networking and multimedia

applications - OOP”

Computer

Science

University

COREP laboratories in Turin.

(Nov 1998 - May 1999). – Italy-


Courses/Internships

Name of courses/trainings/diploma From

Sybase ASE 12.5 DBA Administrator Sybase Group, Milan 2002

Sybase ASE 12.5 Performance and Tuning Sybase Group, Milan 2003

Oracle8i basic and concept –Installation and

Tuning

GKI Milan 2002

RMDS Reuters market Data System platform Reuters Group, Geneva 2002

Kondor+ Technical Advanced course Reuters Group ,Geneva 2004

KGR 3.0 Technical Training Credit Limits Reuters Group, Paris 2005

K+TP BO Technical Architecture Reuters Group, Geneva 2005

K+TP 2.8 BO (Configuration, Dictionary,

Validation, Payment, Bank Account

Reuters Group, Geneva 2008

Business Knowledge

Mathematics degree and long experiences in the analysis of Structured products for

deployment of Pricing Libraries (DLL) and integration in FC Kondor+

Knowledge of the Structured Products life cycle workflow ( Barrier Monitoring, Cash

and Physical Delivery , CashFlow Events and PNL computation )

Experiences of Workflow F2B (STP) - Post Deals processing (Validation, Accounting,

Messages generation and matching)

Market Data management of Yields and Volatility Curves, Correlation Matrix and

Times Series.

Structured Products - Trade Hedging - analysis to identify and decompose the

payoff in the risk component ( the evaluation depends by the underlying path ).

Defining the workflow to cover the risk component with specific options. As for FX Dual

Currency Option, Reverse Barrier Conditions, Equity/Commodity Notes linked to

underlying performance.

FRTB concepts of Risk Capital charges allocation: SA (sensitivities based) and IMA

(Internal Model approach - consolidation the front office libraries into Risk Engine)

Technical Skills

Extensive experiences of SDLC with C++ OOD projects using STL, Boost and Loki

Libraries cross environment (Solaris/Linux/Windows)

POSIX Multi Threads: mixed code fork whit threads, threads and exceptions

Development of prototype with the technique of Template Generic Programming,

using Meta Data and Type Trails (at Compilation Time)

C# .Net very proficient in the following version: 2.0, 3.5, 4.0 Windows Forms

(MVC) and WCF/LINQ/XML/ Multi-Threading ADO.NET, JSON (Agile: TDD -Test-


Drive-Development- Model ).

LAMP (WAMP) PHP Mysql-API, PHP-MVC Pattern, CakePhp Framework

NumeriX SDK (C++ and C#) libraries for pricing structured products.

(www.numerix.com). I have worked in different integration projects to plug-in

Numerix libraries in Kondor (C++/API) and Windows DotNet applications

Numerix Payoff Script language to evaluate the different component of open

payoffs

Kondor+ OpenTrade API libraries used to integrate external pricing and analytics

engine.

Kondor OKAPI/JKAPI for designing and coding of real-time export/import interfaces

( ETL Adapter )

Xerces 3.3.1 API, DOM Parser and SAX Parser for processing XML document with

Xsd Schema Validation - ( XPath and XQuery API)

IBM MQ 7.5 Series Queue Manager API

Tibco RVD API and Tibco EMS (Enterprise Messages System) API

Service Providers: Reuters platform Triarch SSL (C++), Reuters Market Data

System (RMDS) and SFC API (.Net) , TREP ( ThomsonReuters Electronic Platform)

ThomsonReuters - Instegration project for DTS ( Deal Trader Server ) and FIX

Protocol messages to import from FXALL/Bloomberg/RET markets

Developer of T-SQL for procedures/triggers and Financial Report (OpenReport)

Shell script, Python and Perl using C-PAN Modules

RDBMS Engine: Senior on Sybase ASE (11.9.x, 12.0, 12.5, 15.7 ): installation and

delivery with complex financial applications, backup/recovery, Performance and

Tuning. NoSQL Database: based on Pairs ( Key/Value ) and XML Object Oriented

Career Profile

o Currently I m employed at Finastra - Financial Software in the Sales & Operations Group

with the role of pre-sales Technical Architect and Structured Products expertise

o Before for seven years I worked in the Field Development Team (Research &

Development) at ThomsonReuters to develop system interfaces, analytic framework,

custom workflow (UI) and building cross-pricing quant libraries. I have been

involved in the project to integrate the Numerix C++ SDK into Kondor+ for pricing/

solver and stochastic evaluation of Structured Products.

o Exposure to processes and best practices followed for the entire SDLC process.

I worked for one year and half in the Development Lab of Thomson Reuters in Paris

(France) to deploy new features of KSP/Kondor - commercial F2B applications.

http://www.numerix.com/


Employment History

Work Experiences (May 1999 – Today)

July 2012 – Today FINASTRA - FINANCIAL SOFTWARE -

CAPITAL MARKETS F2B AND STRUCTURED

PRODUCTS -

ROME, IT

Finastra is at the forefront of the financial software industry, providing the

broadest portfolio of banking, treasury, trading and risk solutions available on the

market for both the sell- and buy-side.

The company serves 1,800 banks and financial institutions across 120 countries.

Role: pre-sale Technical Architect and Structured Products expertise -

Work for pre-Sales & Sales Operations Group

I m in charge of following main topics:

Supporting the EMEA sales and pre-sale organization for RFP and RFI

including the preparation of POC-prototype and technical workshop.

Professional Services: Understanding and Analyze the customers

business requirements and translate them into technical solutions in

Front2Back applications.

Expertise of exotics and structured products, processing their

implementation in Kondor/KSP.

I have recently delivered in Live the following projects of providing best-

practice technical solutions for specific and complex business requirements.

Nov 2018 – Jan 2019 [ ICCREA Bank - Rome ]

Ongoing project - Rest Server development to expose Kondor+ and database

services.

( Technology: Java 1.8 plus groovy script )

I have been engaged by the ICCREA Business Team to define the

requirements and the architecture of Rest Server (back-end side) to expose

several Kondor+ (Front Office legacy application) services and database

tables access to REST API calls.


The Rest Server services will be available and consumed by web client

applications ( Presentation Layer - REST Call on demand )

July 2018 – December 2018 [ ICCREA Bank - Rome ]

Delivered in live system on 18.12.2018 - MTS real-time Interface - System

Integration

MTS is Italian Markets for Repo and L&D

I have defined the architecture and processed the development of real-time

interfaces to import the repo trades into Kondor+ (F2B) from the following

Markets:

MTS - Repo via LIST Platform ( Italian Market for Repo and L&D)

MTS API Libraries have been embedded in the java adapter.

FXALL via Thomson Reuters platform for FX OTC OPTION ( FIX

format )

The MTS Interface have been delivered in live in December 2018 plus a

Custom Window widget available for operational end-users to define the

Folder and third Party mapping.

The MTS interface have been developed in Java 1.8 plus groovy script to

process the mapping on the fly.

Reference from the customer:

I have received the endorsement by the customer for the ability to

deliver the MTS Interface on time and in compliance with business

requirements.

May 2018 – Sept 2018 [ Intesa San Paolo Bank - Milan ]

- Live on 25.09.2018 - Solver Tool for IRS/CIRS via Front Office API

Responsibility for unit testing and preparation of software releases of

building a Solver Tools for IRS and CIRS instruments to solve the Yields

Curves according a list of Maturities and Floating Rates entered by

autonomous Custom Windows. ( Front Office Kondor+ and Service API ).

The Tools will be used by the analyst to check if the Multi-Curves are


configured properly in the Front Office applications.

The SIT/UAT confirmed that spread computed by the Solver Tools are close to the

basis spreads quoted in the markets.


Operational end-users statement: the solution matched 100% the

business requirements and the expectations

Jan 2018 – May 2018 [ SGSS - Soc Gen - Milan ]

Live on 10.05.2018 - Compliance Reporting Tool

Worked close to the traders and business persons to build a front-office

software component to generate compliance Reports as requirements of

MIFID II and EMIR directives.

This project was very good example of Team Player and team success:

We worked in a team close to final customer with the operational end-users

(UX) and compliance team. We deployed the regulatory report for MiFid II

according the business specifications and we delivered some UI widget to

the end-users following they practice experiences in using the Front Office

applications.

The project got success and the customers feedback was very positive since


Survey and Customer feedback on the project: the solution

matched 100% the business requirements and the expectations

Worked for the Projects and pre-sales solutions proposals:

RenCredit Russian Bank - I have processed the analysis of

Equity/Commodity Notes linked to the underlying performance for the

evaluation of the structured products (pricing) and hedging the risk

component linked to underlying boost performance with option call.

(Trade level hedging) - (Nov 2018)

ZABA Bank - I have processed the analysis and prepared the template


for the workshop to manage the Equity Basket Notes linked to basket

performance with trigger level. Plus the Equity Performance Asian

Notes. - (Dec 2018)

BCEE - Luxembourg Bank - preparing the workshop on Kondor/KSP - for

EquityBasket with Quanto, AutoCallable, Coupon Level and Reverse

Convertible conditions. - (April 2018)

Carige Bank (Italy) - Configuration of Fusion Risk to compute the

historical VAR and configure the Grid Module to improve the VAR

computation performance - (October 2017)

BPER Bank (Italy) - Development of ETL Adapter from Kondor(front

system) to Oracle DWH - datawarehouse. ( uploading of massive

messages - circa 300k messages for day ) - (July 2017)

ENEL - Supporting the POC to deploy the FX Asian and DARO

products .

EuroBic (Portugal) - working with Numerix CrossAsset XL Tools (excel

based) for pricing the EquityBasket payoff and loading the pricing info

into Kondor+ ( Sept 2017 )

Estimation the proposal of Kondor/KSP to manage the implementation

of Structured Products for DEXIA Bank (Italy), BPER Bank (Italy),

LUKB - Luzerner Kantonal Bank (Swiss) and NovoBanco (Spain).

CREDEM - supporting the RFP and working on the POC for Callable

Bonds and Flexible Forward ( July 2017 )

Deploying the Equities Basket Auto callable with Reverse Convertible

condition in KSP/Kondor using Numerix payoff script - May 2017

Structured Products pricing in Carige Bank (Italy) via External Plug-in

developed using C/C++ and C# DotNet via Tibco RVD Bus. ( Dec 2016)

Fusion Capital Transformation Project in ICCREA Bank - Rome - Italy

Worked for the Technical architecture and Analysis of FCP (Fusion

Capital Pricing) and FCC (Fusion Capital Curves) global components.

Defining the physical deployment of Kondor and Summit with FC

Insight Reporting on the top to aggregate reports and PNL coming from

several front office systems. (Oct 2017)

Structured Products implementation in FC Kondor for SIX Swiss Market

products (EQ Express Certificates, EQ Discount Certificates, EQ Capital

Protection without CAP) - (May 2016)

Implementation in Kondor/KSP of the following products: FX FWD

Accumulator with American Barrier (KO) and EQ OTC Accumulator

Leveraged with American barrier (KO) - (Sept 2015)

Kondor/MGR Configuration of KSP deals (Derivatives) - (Oct 2015).

Credit Risk (Limits Management) and Market Risk deployment with the

creation of Stress Test/Scenario/MonteCarlo Var.


==============================================================================

May 2008 – Jan 2012

THOMSON REUTERS (RISK DEPARTMENT) ROME, IT

Role: – Senior Front Office Developer --

Joined to Field Development Team (Research &Development)

Involved in the design and coding of the following projects:

POC: Internal Innovation Project

Structured Products Wizard Project (September 2011 –Jan 2012)

Structured Products Wizard is an user-friendly Windows DotNet

Application to help the operations end-users to create on the fly complex

Structured Products of Interest rates, Equities and Forex asset classes and

pricing them using NumeriX SDK or external libraries.

Basically the Wizard Platform is a tool between the Pricing Engine and

the Kondor+ . It will let the users create on the fly structured products.

Technology: Windows Platform, Visual Studio 2008, Language C# .Net

Numerix .NET 9.2, Tibco EMS 4.2, Sybase ASE COM.

We developed the Structured Products Wizard following the functional

specifications provided by quant team and business persons according practice

experiences - UX

Project:

System Integration - ETL from Multi Data Sources

KEI - Risk Consolidation Tool (July 2010 – August 2011 )

Project Purpose:

The KEI is a powerful tool used by Kondor clients (Investment Banks)

to import the Deals and Static Data from different Kondor+ systems (Data

Sources) to one consolidation Kondor+ box (target). The KEI is a data

aggregation and mapping tool to provide financial reporting.

Technologies:

C++ OOD, STL, PosiX Multi-Threads, Kondor OKAPI API, Boost 1_46,

Log4cpp, Xerces DOM Parser Xalan Xslt 1.0.

Client/server architecture Using the design pattern Reactor to deploy the

reactive server to detect the requests from different sources (de-


multiplexing), event loop and dispatching handler messages. (ACE plus

POSA#1)

Developed the Façade Wrapper to encapsulate the Okapi Kondor API in

portable C++ classes.

Network Adapter Layer: the tool is able to communicate whit different

communication mode: TCP/IP, MQ, Tibco RVD bus system.

The tool has been used in several projects with different purposes:

Multi-Sources data aggregation and consolidation for financial reporting,

During Kondor+ Upgrade project for regression test, data and PNL

validation

The KEI Tool has been installed and used on live by the following Kondor+

clients:

ABC Bank of Behrain 2017

Islandi Banki 2016

MEF (Ministery of Economic - Italy ) 2014

Bank of Baroda (India) 2013

Ing Bank 2012

SocGen (multi-sources aggregation projects ) - 2012

Project:

C++ Quant Development

(Sept 2009-June 2010) Delivered in live at June 2011

Building a cross asset quant library from scratch, architecture design with open

Payoff approach for an important client in Italy: Carige Bank.

The libraries has been integrated in Kondor/KSP Front to price structured

products of Interest Rates and Forex exotics derivatives.

The quantitative libraries were developed by our Team using Agile Model and

they have been validated by the Bank via benchmark with Bloomberg Terminal

and SuperDerivatives. (live from May 2010).

The functional specifications of the libraries are:

Forex: Model Garman-Kohlagen. with Numerical Method: MonteCarlo

Payoffs: Plan Vanilla Options, Single and Double Barriers. American Options

whit BAW Formula and CRR binomial method.


Interest Rates: Model: LMM-1F with Numerical Method: MonteCarlo.

Payoffs: PlanVanilla, Corridor, RangeAccrual. Calibration Caplet/Floor whit flat or

piece-wise volatility.

This is a great example of Team Player and very good team success:

We worked in a small team included developers and quantitative

researchers. We deployed the math stochastic models according the quant

specifications of market data set management and for pricing complex

exotics derivatives products.

The project got success and the customer feedback was very positive since

the final prices were close to the Markets as benchmark with Numerix,

Bloomberg Terminal.

Project:

Caja Madrid libraries plug-in Integration into Kondor/KSP as Front

Office (March 2010-July 2010)

Caja Madrid External Pricer, plug-in integration (Spain).

I have been worked as Quant Integration to plug-in the customer financial

libraries into Kondor (F2B). The customer libraries were developed by the

bank quant team using C/C++ technology and providing stochastic

models to price interest rates complex deals.

I achieved goal to migrate the initial library from Windows to Unix

environment and mapping all the Market and Deals Data coming from

the Front Office application to functions arguments.

========================================================================


June 2007 – April 2008 REUTERS FINANCIAL SOFTWARE -RFS- PARIS, FR

Role: C++Software Developer

I have been involved in a development project in the Development Lab in Paris to

extend software component and functionality of Kondor/KSP. I worked for the

following assignment:

Define the external pricing module in KSP (Kondor Structured Products)

Analysis of Structured Products in term of: DealsData, MarketData, Events

Management and Pricing configuration.

Involved in the Openness Project for implementing a set of messages

handlers to expose Kondor+ services to external systems.

==============================================================================

March. 2002 – June 2007 REUTERS MILAN, IT

Role: Senior Technical Consultant

Trade & Risk Management

Worked for the following activities and projects:

Senior Kondor Technical Consultant ,

Technical specialist of Risk products Kondor+, KGL/KGR, KSP. I worked

for Customer Support (CS) and implementation projects to delivery

complex business solutions (PS).

Customization of Kondor whit experiences in Bank of Lodi, MeliorBanca,

SanPaolo IMI, Bank Popular of Milan (BPM)

Delivered in live EquityBasket package to BancaAperta in Milan.

Deployed T-SQL Store Procedure and triggers and OpenReports

Upgrade/Double Upgrade of Kondor+

(Bank of Lodi –BPI- , MeliorBanca , Bank Popular of Milan –BPM- )

Tuning and Debugging on Unix for application processes through analysis

truss, core and stack trace

=========================================================================


Sept 2001–March 2002 NEXTRA SGR MILAN, IT

Unix System Administrator

UniX Consultant, responsible for facility management of Sun Solaris and IBM

AIX. Problem solving in relation to high availability and balance of services,

management of volumes with Veritas Software, Raid Manager (LUN) and

implementation of SAN (Storage Area Network)

==============================================================================

Sept 2000- June 2001 KpnwQwest ISP

Milan, IT

Unix/Linux System Administrator and Developer

UNIX System Administrator on Linux and Sun Solaris platform with Intel and

Sparc architecture. Experiences on Internet Security, configuration of classic ISP

services for network directory, Web, Mail server with Open Source products.

==============================================================================

May 1999–Aug 2000 CAPGEMINI GROUP ROME, IT

UniX Technical Consultant

Responsible for installation and management of Sun Solaris platform deployed in

Sun Cluster and Veritas Volume Manager architecture.

Books case Study

“Language C++” Technical Herbert Schildt ,1996

“UML Distilled” Technical Martin Fowler, 2004

“The C++ Standard Template Library” Technical Nicolai M. Josuttis, 2006

“More Effective C++” Technical Scott Meyers

“Effective C++” 3th edition Technical Scott Meyers 2007

“C++ Effective STL” Technical Scott Meyers

“Design Pattern” GoF Technical Gamma, Helm, Johnson

“Modern C++ Design Generic

Programming and Design Pattern Technical

Andrei Alexandrescu


applied”

“Introduction to quantitative Finance” Finance Paul Wilmott

“Intrerest Rate Models, Theory Practive”

3th edition Finance Brigo & Mercurio

“Efficent Mthod for Valuing Interest

Rates Derivatives” Finance Antoon Pelsser

“C++ Network Programming” vol I – II Technical Douglas C. Schmidt

antonio di sabatino · forex (accumulator, tarn, fx dual currency deposit) equities notes (swiss...

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