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Maya Torres
Passionate technical
consultant with expertise in C# .Net. I am pursuing opportunities as a financial
developer employing business and real-time pricing knowledge to build rapid enterprise
quality solutions. I have Fixed
Income and Equities background as well as algorithmic development experience.
Professional Experience
Artivia, New York, NY Dec 2011 – Present
Application Developer
·
PrivateCollection is a cloud based fine arts management
services enable wealth management firms to deliver unique, tailored services
built around client's fine arts assets.
Technologies: C#, .Net,WinForms, SqlServer
2008r2, ADO.NET ,DevExpress.
·
PrivateCollection cataloging individual works of art. Auction
catalog, literature and exhibition ephemera for collections and estate
management. Creating catalog raissone, curatorial proposals, artist studios. Libraries.
Galleries. Museums and Antiques.
·
Tracking of fine arts for recurring opportunity to work
with clients to manage their assets. New acquisitions, sales, and other events
related to art acquisition create opportunities to demonstrate opportunity to
anticipate, support, and advise clients. Art acquisition triggers financial
events such as loans, insurance, appraisals, portfolio re-balancing, and credit
lines. By proactively anticipating and fulfilling clients’ needs related to
fine arts PrivateCollection positions client firm as a adviser capable of
orchestrating transactions.
Nomura, New York, NY Apr 2009 – Dec 2011
Risk Developer
·
Americas lead responsible for firm wide proprietary
global swaps pricing model and market streaming application development and roll
out. Worked on USD development,
specifications and deployment. Requirements gathering, testing plan generation.
Work with LON,TKO for roleout. Create pricing and quoting model for swaps desk
with pricing RFQ streaming to Tradeweb, Bloomberg markets via Radial gateway. C# multithreaded server side components.
·
Generation of market live risk. Realize pricing engine
using real time market data from Pricing for BBG, TWB Swaps, Fly’s, IMM and
Curves instruments. P&L Explainer bucketed gamma for fast market hedging.
·
Work with swaps traders on server implementation of curve
generation models. Monitoring tools for process health checks and price sanitization..NET
Server side process optimization for GC, COM interop. Message throughput.
·
Develop WinForms front end to replace spreadsheet trader
parameters for sizes,skews spreads 10’s Spreads, FixedFly’s using DevExpress
XtraGrid, Tibco. Microsoft.Office.Interop,VSTO
·
Validation of Carry, P&L,Delta Ladder, Gamma, Vega,
intraday risk for interest rate derivative positions. Futures, Basis Swaps,
FRAOIS tenor OIS swaps.
Technologies: C#, VBA, KDB,Tibco, RV,
BLP
Bank of America, New York, NY Oct 2008 – Feb 2009
Equities Developer
·
Worked
on equities algorithmic development team responsible for rules development,
flow and trade capture support of advanced execution services desk.
·
Utilized
C# and C++ programming skills on ATE/EASE and Algorithmic Trading Platforms. Footprint
includes working with quant team on enhancements, break fixes and performance
upgrades to server components. Subscribe to workup for trade execution to C#
front end blotter. Allow cancel/amend of existing rule execution.
Troubleshooting failed trades including incompatible FIX tag/value
implementation and roll out of trade venues, Fidessa clients. Technologies: C++, C#, QDB, KDB, CVS, XML,Tibco RV,FIX.
·
Implemented
new rules in Rules Manager for subscription to Reuters market data. Technologies: C++, Sybase, Clearcase, EMS .
·
Implemented
SoR Smart Order Router to Front End Trader GUI. Technologies: C#, Tibco RV.
·
Migrated
K to Q databases. Technologies: C#,
Sybase, Clearcase, Rational Quantify.
Credit Suisse New York , NY
Electronic Trading Developer
·
Programmed for Electronic trading development team which
was responsible for market pricing, trade capture and support of fixed income
trading desk.
·
Aggregation of trade fills on trade-size for future
trading. Reduce bandwidth. Aggregator to work with CBOT and CME futures trades.
Aggregate established movable window of time when future trades arrives.
Further aggregately trades arriving within window will be size aggregated. Multiple simultaneous aggregates. Fills from
systems and orders being interleaved. Implemented in thread threading condition
variables, mutexes and critical sections. Technologies:
Programming Language — C#, Database — Sybase, Clearcase, EMS.
·
Create trade aggregation reconciliation process to
connect with exchanges and database and report breaks in completed trades.
Develop server side job scheduling and monitoring for process launching. Technologies: : Scripting—Perl,ksh Database —Sybase, SQL, crontab.
·
Interfaced with GMAG Analytics to prototype OTRCurveGen.
.NET Off the run treasury curve calibrated publishing component. Decomposition
of Curve Fitting Optimizer spreadsheet. Integration of COM interop pricing
libraries. For creation of curve building and calculation routines.
·
Utilized .net threading Locks, Create Safe collections
class, Utilize TIBCO.EMS real-time threading model for future price update
caching, on the run price updates and simultaneous curve publishing.
Configurable recalculation of OTR curve via xml config file. Parsing of EMS realtime data updates utilizing DOM Parser.
·
Technologies: Programming Language
— C#. WinForms. Database — Sybase, API —
GMAG Analytics. ADO.NET, EMS ,DOM
JPM Chase New York , NY
Risk Developer
·
Participated on Asset Management development team
responsible for trade capture analytics of fixed income derivatives trading
desk.
·
Provided technical resources for trading overseeing
JPMChase asset management accounts. Oversight of derivatives trading blotter
FIS2 DTB for back office OTCS settlement system and block trade allocation.
OTCS process for feeding of downstream settlement system DPP pricing module for
NAV share P&L calculation via instrument level pricing comparison from
brokers, 3rd party feeds and internal ASI analytics.
·
Technologies: Programming Language
—, C#, Database — Sybase, API — JPM Analytics.
BNP Paribas New York , NY
Front Office Developer
·
Participated on Electronic trading development team responsible
for market pricing and trade capture support of fixed income trading desk.
·
Architect Development and testing for MBS processing from
BBG Toms and CMF gateways supporting of stipulation terms. Testing for trade
processing from MarketAxcess to BBG Trace and MBSExpert.
Technologies: Programming Language
— C++, MFC, Database — SQL Server, Messaging — MQ Server, Tibco EMS, Gateways —
Bloomberg, MarketXess.
·
Held senior role on team responsible for firm wide
proprietary global pricing and market streaming application development and
role out. Worked on USD development,
specifications and deployment. Requirements gathering, parallel testing. Create
pricing and quoting model for credit agency and treasury desk with streaming to
Tradeweb, MarketXess and Bloomberg markets via ION gateways.
Technologies: Programming Language
— C++, WinForms, Database — SQL Server, Messaging — Tibco EMS and TOC, Gateways
— ION, Tradeweb, MarketXess, Bloomberg.
·
Worked with Swaps Desk to create global BBG Interest Rate
Swaps trading platform. Created module to provide real time indicative
Bloomberg Swaps prices which are calculated from trader provided spreads to
on-the-run treasury benchmarks. Server combines spreads to underlier to publish
to ION Gateway. Desktop monitor client application tracks mid price drift to
composite market prices.
Technologies: Programming Language
— Java, JNI .NET Winform, Database — SQL Server, Messaging — Tibco EMS and TOC,
ION Bloomberg gateway, Analytics Engine
— Westminster
·
Designed and implemented Eurodollar calculator to provide
real time Eurodollar yield equivalents which when subtracted from real time
yields for short-term securities will provide real time TED spread equivalents.
Server to combine end to end Eurodollar future contracts to cover duration of
short term fixed income security pricing as equivalent Eurodollar yields.
Technologies: Programming Language
— C++, Database — SQL Server 2005, Messaging — Tibco EMS and TOC, Analytics Engine — Westminster
·
Designed and implemented price retrieval engine for
Garban/Brokertec market pricing data for on-the-run, off the run, tips,
treasury basis, spreads swaplocks depth of market and swaps. Application to
connect to broker server and retrieve instrument price and depth information
and publish onto local TOC server using gov-pix naming convention.
Technologies: Programming Language
— C++, Database — SQL Server, Messaging — Tibco EMS and TOC, API — Garban SDK.
·
Designed a software system for calculation of CRM
Spreads. Design Component to provide the CRM model price for the off the run
basket of treasuries. Application to subscribe to price updates from pillar
securities. Inputs set of swap rates and builds a Continuous Rate Model curve.
It outputs the price of a range of securities by calculating the present value
of a bond at the settlement date. BondPV calculates the values by discounting
the bond coupons using supplied swap curve.
·
Converted values to a forward PV by dividing by the
discount factor at settlement date. This is in effect the dirty price implied
from the swap curve. Utilizes JNI for interface to Westminster
·
Development of Liberty flow desk P&L ticketing
application. Batch process to reconcile trades with position keeping system and verification of
settlement of trades. Scripts query Sybase and SAMS in memory database to
create nightly batch reports for middle and back office systems. Technologies: Database — Sybase, SAMS.
Barclays, New York , NY
Business Intelligence
Consultant
·
Participated on Credit Risk Management Development team
responsible for risk reporting functions.
·
Analysis and Implementation of processes for risk
evaluation of Barclays Fixed Income and US Credit desk positions.
·
Created credit risk reports for industry sector net.
·
Generated US Tips DVaR spreadsheet program to query the
MBS trades database and generates the MARS data and ftp results. Application is
called by a scheduled task vbs cron job.
·
Implemented HYMF data feed extract.
·
Created VB Form front end for testing, troubleshooting
and development of system.
·
Created ActiveX DLL to hold all functions for parsing of
input Excel spreadsheets getting input data and generating output data in MARS
format. The DLL will fire off events that can be picked up by the front end for
interpretation.
·
Created the Sensitivities Data file containing the –100,
0, +100 P/L changes for bsp change. The
mars export file will contain the A header record and data point records for
each of trades.
Technologies: Programming Language —C#, VB VBA. Database — Sybase.
Environment:win32.
Merrill Lynch, New York , NY
Business
Intelligence Consultant
June 1999 — Dec 1999
·
Participated on Global Credit Risk Management Development
team responsible for credit risk measurement services of all ML Entities.
·
Developed back-end data gathering system-utilizing C#,
SQL and shell scripts to incorporate data obtained from Legal Counsel
Information systems into Corporate Credit Department reconciling Credit and
Counsel's information.
·
Developed data integrity checks and cross-referencing
system.
·
Provided current status of legal agreements, replacing ad
hoc notifications.
·
Furnished legal agreement information governing
Repurchase Agreements, Equity and Debt (including Credit, Commodity and New
Derivatives and Local Currency Trading) transactions conducted by ML entities.
·
Stored attributes pertaining to master netting (i.e.,
ISDA, Master Commodity, Swaps, BMA, etc.) and pledge agreements.
Credit Suisse First Boston , New York
Prime Desk Analyst
·
Risk Management Development team responsible for risk
measurement services of prime broker client portfolios.
·
C++ based system for data warehousing of current, past
and modified portfolio instrument positions. Data gathering of instrument
terms, conditions and prices from CSFB global data warehouse and PrimeBroker
position database. Batch updating of position corrections, modifications and
cancellations.
·
Constructed instrument objects and routines for data
gathering of discrete instrument provisions for loading into Sybase
tables.
·
Employed instrument inheritance schema for generic
virtual function calls for instantiating, converting, inserting, updating and
exporting of all instrument records within the PrimeRisk database.
·
Developed spreadsheets with VBA scripts and dynamic link
libraries to import and parse theoretical value/value-at-risk (VaR) reports
generated by Algorithmics' RiskWatch system.
·
Developed models to validate RiskWatch's theoretical
value and VAR calculations for Treasury Bonds, Equity Market Indices and Common
Stocks and the fixed and floating legs of Interest Rate Swaps.
·
Generated instrument cashflows, mapped the cashflows to
RiskMetrics constant maturity nodes and used historical price volatilities and
correlation matrices in employing J.P. Morgan RiskMetrics 'tweaking'
methodology to calculate VaR and compared the results with those generated by
RiskWatch.
·
Implemented socket based instrument data request broker
interfacing client subscription/snapshot requests with Bridge, Reuters and
Bloomberg data request API classes provided with ticker, cusip or isin
id’s. Client, Request objects utilize
isomorphic persistence for object level transferring of requests and results
between client and broker.
·
Utilized tools pro.h++ and threads.h++ to queue data
requests.
·
Generated batch export files of Sybase positions and
instrument parameters employing formatting specifics for generation of
RiskWatch bootstrap curves, Instrument positions and FAME time series vector
storage. Generation of Call, Put and
Conversion Option Schedules using canonic-matrix container and DBTools.h queries.
·
Data acquisition of client Treasury Repo Sell /Buy
Callable Convertible Bond including creating synthetic portfolio positions for
modeling of derivative instruments. SunOS to Solaris migration of price
volatility data generation program and financial function libraries. Conversion
of perl Bond Future importing code and subroutines to C++ classes.
Nomura Capital Services Inc,
New York , NY
Application Developer
·
Participated on Back Office team responsible for
Servicing of Swaps Trading division.
·
Developed NT based swaps accrual system for daily pricing
of over 2000 swaps including arrears setting, daily average swaps, and
compounding arrears setting trades using average and forward rate curves for
counterparties risk assessment.
·
Created API external DLL libraries modules using Visual
C++ for calendar business day functions, calculation of start stub dates,
obtaining yields from yield curve, calculation of USD swap zero curve.
·
Created autofax reset payment software to automate daily
faxing of 100+ reset and payment notices to counterparties. ISDA compliant with fax transmission data
logging to Sybase, including fax TIFF page images for on demand recall of faxes
sent out for counterparty confirmation using Web.
·
Created UNIX daemon for email confirmation of fax events.
·
Implemented WinNT fax server gateway and
inter-application VC++ DLL's for enterprise autofaxing.
·
Created Solaris demon using CSH, AWK to query Sybase for
conversion of TIFF images to GIF for viewing on Web.
·
Created UNIX C++ CGI and HTML interface for imaging and
system interface.
·
Developed VB/C++ workflow application for data entry of
Futures and Options orders-- including creation of cross- platform winSockets
DLL's for initiation of Unix server processes from Windows NT, for data
propagation from Windows NT to front office UNIX systems.
·
Developed system to export swap payments to 3rd Party
electronic funds transfer system. System automats payments of all
multi-currency daily swap settlements to counterparties and advise-to-receive
transactions allowing netting at deal or counterparty level. Data
synchronization of systems counterparty/preformat SWIFT information using
stored procedures.
·
Utilized perl scripts and Sybase stored procedures.
Education
Using the Yield Curve
Calculus for business
Certificate in Object Oriented Programming
Math & Economics, Binghamton
University
Technical Skills
C++, C#, UNIX, NT Coursework
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