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Quantitative Analyst Support Print E-mail

Development & support for quantitative analysts on interest rate derivatives


Activity and interventions


  • Development of tools (generic and custom)
  • Development coaching
  • Mathematical libraries implementation
  • Code optimization
  • External systems integration

 


Technical environment


  • Windows
  • Java
  • Grid computing

 

 

Key figures


  • Project duration: still ongoing
  • 60 End Users

 

 

Context


Financial products and especially interest rate derivatives are an important part of the dealing room activity.
Pricing and risk evaluation algorithms are developed by a mixed team of mathematicians and developers working together in order to optimize the time to market.
The quantitative analysts work on applying algorithms to the financial calculations and the developers help translate them to code and provide the surrounding architecture.

 

 

ALTEN's achievements

 

The following tasks were performed:

  • Lead on development.
  • Setup of the development environment, including the development of custom tools.
  • Coaching of the mathematicians on the transition from C++ to Java.
  • Fast solution delivery on new requirement.
  • Continuous development support.

 

 

ALTEN's Added value

 

  • Provided high quality and flexible consultants.
  • Creative approach to problems.
  • Introduced feedback culture and improved communication between project’s actors