Title

Director, Quantitative Analyst

Overview

I joined the Yield Book Analytics team at the London Stock Exchange Group (LSEG) in September 2023. The team is responsible for developing and maintaining the Yield Book models and analytics, which are used by fixed income portfolio managers, traders, and risk managers to make investment decisions.

I joined the team to expand my experience in pricing models and C/C++ programming.

Things I’ve done

I’ve enhanced features of the analytics library, including

  • rate of return calculations
  • pricing and risk (e.g.\ TBA mortgage options, CMS-based bond options)
  • GUI improvements
  • documentation

I’ve also provide a series of seminars on the Fundamental Review of the Trading Book (FRTB) to the team.

Tools and Technologies

Daily used: C/C++, Python, Linux, cvs