My role at Citibank started as a 3month contract in Debt Derivatives, Middle Office as a VB/ SQ Server developer to build an interest rate/yield pricing system. The current system was an excel based system of 30 spreadsheets all linked together that worked well, but no one understood how it worked. My role was to re-engineered the system into a clean, componentised system that could easily modified and updated. The system worked by linking into Reuters and Bloomberg to get EOD interest rates and taking them to build yield curves. The yield curves were then input into the large mainframe systems to enable all the overnight processing to begin. I loved this job, it was fast paced and stressful, I learnt that decimals needed to go to 10 decimal points to ensure accuracy of pricing and small variance in numbers could lead to million of dollar differences.
This was implemented over a 3-6month timeframe, however I stayed on contract for 3 years implementing various tools that could be leveraged by middle and front office to increase their efficiency and reduce manual work.
By the end of the 3 years, I was dev team lead for 4 developers and had started my transition away from development work into project management.
MEASURE OF SUCCESS
Interest Rate and Pricing Yield Calculator
Budget - Small
Method - Phased
Description - To implement an EOD yield curve calculator, that have variance reporting to highlight large difference in rates from yesterday(25 basis points) and to ensure calculations were accurate before overnight processing began
Measure of Success
Accurate yield curves to 10 decimal points
All calculations and processing finished by 6pm daily
Maintenance and running by a junior support person
Ability to add in different calculations without impacting current processing