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Physics

Our projects include:

  • Newtonian and non-Newtonian fluid flows
  • Solid mechanics stress analysis
  • Temperature simulation in solids and liquids
  • Signal processing
  • Sensitivity and optimization analysis

Financial services

Expertise

In summary, our experience of mathematical modelling and software development in the financial sector includes:

  • Construction of yield curves from a combination of various financial instruments.
    • Interest rate modelling with multiple yield curves
  • Pricing of a number of types of financial instruments such as:
    • Futures and Forward Rate Agreements
    • Interest Rate and Credit Default Swaps
    • Bonds
    • Interest Rate Options – including Binomial and Black-Scholes models.
    • Indices
  • Risk mechanics:
    • Market risk mechanics, for example the “greeks”
    • Credit risk mechanics.

Projects

Primary fixed-income pricing and risk library

Several years experience developing and supporting the primary fixed income pricing and risk library for a Tier 1 investment bank. 

This library supported:

  • Back-office operations – the library formed the basis of a number of the bank’s back-office operations.
  • Front-office operations – the library was also delivered as an Excel plugin used directly by the front office.

We were involved in a number of major improvements to this library. One of these was the replacement of the existing monolithic library by a new, more flexible, approach. A much smaller library core library was produced supporting the minimum required feature set with additional functionality provided through plug-ins.

This improved the flexibility of the system and allowed the release cycle for the product to be more responsive to business requirements rather than being tied to a three month cadence.

Another improvement was the development of an innovative new approach for the rapid integration of new instruments by extending the primary pricing library’s interaction with Excel.

The new system allowed the library to use Excel workbooks to price trades with the Excel workbooks themselves able to concurrently use the library to access market data and other services.

This allows new instruments to be integrated with the automated portfolio valuation and risk calculations provided by the library much more quickly as the software development team is not required to develop new code. Faster integration reduces the risk associated with such new instruments.

Credit default swap indices

Design and implementation of the business logic for pricing a new class of indices based on credit default swaps.

Due to the turbulent credit market in 2007-2008 this was a major new product with significant interest from many parties inside and outside the organization. The project involved close collaboration with the indices desk to analyse the business logic and delivering an efficient solution within the existing framework.

Bond software library

Replacement of a monolithic legacy code base which was expensive to maintain. Development of pricing algorithms and systems for interfacing with market data sources.

Design and development of a flexible and generic format for the definition of bond instruments. This allowed the development of thin layers to interface with a wide variety of both internal and external market data sources.

Re-write of existing monolithic pricing logic to produce a modular system, which was simple to maintain and extend.

Overnight indices batch system replacement

Development of an event-driven replacement for the traditional overnight indices batch processing system, which became necessary due to the increasing number, complexity and diversity of indices that we were required to support.

An event driven multi-threaded replacement was designed, and was implemented as a windows service using TIBCO SmartSockets to provide the required messaging functionality. This project involved close collaboration with both the business and the web team, to ensure support for the web interface.

Real estate and urban planning

Our experience includes development of a range of urban planning and real estate asset management technologies, which include:

  • 3D and 2D drawing and visualizations of large scale urban layout
  • Integrated parametric modelling
  • Liveability indicators
  • Appraisal costs and value analysis
  • Data format interoperability

Programming technologies

  • C++ for computationally intensive tasks - development of highly optimized simulators and components, profile and optimization of existing code, translation and clean up of legacy Fortran/C/Matlab code.
  • C# .NET for User Interfaces - component development, plugin interfaces, integration with third party components, graphs, custom diagrams, 2D/3D visualization, context-sensitive help and interactive tutorials.
  • Open CL / CUDA for GPU Compute - massive parallelisation of existing or new mathematical models, versatile and stable framework for utilizing GPU resources for computations, application of GPU compute in software using consumer-level or specialized hardware.
  • DirectX and OpenGL for 2D and 3D visualization - optimized rendering of complex geometries, visualization of computed simulation results, extensive use of latest shader-based techniques for high visual impact, robustness and low end-user system requirements.

Operations

Our projects include:

  • Source control - Subversion-based source control system with remote global access via SSH. Hosting on machines at our location, automated hard-copy backup and optional cloud/client-based hosting.
  • Testing - customer-specified or designed on a per-project basis. Automated unit and regression testing integrated with source control.
  • Integration with client systems and procedures - we have a history of successully developing projects solo or as part of your team. We can use remote access to client systems - source control, documentation, export certification and acceptance procedures, sustaining of existing projects and direct support of customer's clients.
  • Legal, security and access - company registered in the UK with professional indemnity insurance of £2m and product liability insurance of £1m.