1.

 MX CVA/PFE Project for Front Office 

• Analysis of single integrated platform, MX.3, for trading, risk management and processing. against
the deployment of a standalone Risk Engine and PFE/CVA calculator

• Analysis of Managing Credit Data with the focus on Counterparty hierarchies, netting & collateral
agreements which are shared with the MX Limit Controller and MX Collateral Manager.

• Analysis and Implementation of  the CVA Calculation Engine with focus on the following:

                 1. Model Calibration

                 2. Risk Factor Evolution

                 3. Trade RevaluationExposure

                 4. CalculationCalculation of Unilateral CVA and Bilateral

                 5. CVA Sensitivities

• Running CVA Preview on  proposed new trades

• Identifying the requirements and challenges of implementing counterparty credit risk (CCR)
framework in Murex

• Obtaining benchmark results for a batch CVA/PFE EOD computation and CVA Sensitivities (DV01,
DV02, FX Delta, FX Gamma, CR01) using trades supplied by client

2. Business Analyst project with Murex Deal Entry for the following instruments:

• Split EUR /USD 

• Reverse Floater

• Trade Cycle for IRD

• Loan Deposi MMRoll-Overs

• Murex  sell-down procedure in Murex

• ABS/MBS Structuring

• Range Accrual Swap

• Constant maturity Swap

• Quantos

• Structuring Coupon Bonds

• Call Deposit Life Cycle

• CDS
3. Murex  MLC Analysis , Development in the following areas:

• Dynamic Table Configuration  

• Collateral Management (including Collateral booking)  

• Collateral Datasets  

• Data Extraction Report Batches  

• Collateral Properties Configuration  

• Collateral Date Function  

• MxMLExchange Workflow  

• Margin Call Validation from the OSP  

• Call Deposits  

• Limits Monitor View Settings  

• Risk Measure Display Settings  

• Limit Alerts  

• MxMLExchange  

• MLC Real Time Workflows  

• Auto-Comment  

• Groups Contribution Mode  

• Trade Status  

• Amendment Status  

• Processing script impact  

• Properties  

• Counterpart  

• Countries  

• Instruments

• BO:Applying UDF Loan Type

• BO:Extensions - User definable tables - Structures

   www.teknoquants.com  MX Architecture

Murex SME Architect, Developer and Technical Lead in the following areas:

• Loans in Murex Avaloq Import Workflow

• OSP
OSP Monitor Setup

OSP View Creation

         OSP Rights

            Margin Call Validation from the OSP

• market data

           automated trade entry workflows for Bloomberg, Reuters, 360T, UBS,       

           EBS

 . MX.3 BO

• Clearingworkflow modifications

• Deal Life extension by restructuring

• Post Trade workflows: LCH Upload

• Create new user groups

• FX Swap Eval Formula

• eTradepad  

• LTS Processing Scripts   

• Formula Creation   

• Required Tasks   

• Linking the Workflow tasks   

• Document Setup   

• Workflow activation   

• LRB Monitor Setup   

• LimitsView Creation   

• MLC Rights   

• Datamart Report Configuration   

• LRB Report Extraction   

• Datamart Extraction   

• Static Data Sync Tasks   

• Contributors  
Bloomberg Import Workflow

• Implementation of various routines for Securities and Trades

        Limit  workflow configuration  in the exchange space to process limit changes, format the details
into a document that can be stored as a record, and send to the OSP for validation

Datamart Experience

• Datamart Report Configuration

• Datamart Extraction

• Introduced Processing Script MLC_BF_LRB_REPORT_1feeds data into Datamart table

• I created  Datamart report for the credit curves assignments for EOD and Intraday

Developer role in MLC Configuration  

• Static Data

• Limits Structure

• Group and Time Configuration

• Limits Parser

Formulae Types and Definition

• Implementation of Various Risk Types

 Replacement

 Issuer

 Settlement

• Limits Management

 Default Limits and Limit Management

• Engines

• Limit and Risk Monitoring

• Limit and Risk Reporting

MLC Advanced Configuration

• Advanced Static Data

• Matrices
 • Advanced Limits Parser

• Netting and Horizontal Columns

• Advanced Limits Management

• Server Property Management

• Mx MLC Workflows

• Transaction Details

• Advanced Risk Configuration Options

• Advanced Limit and Position Monitoring and Reporting

• Automation

• End of Day

 Risk Computation

 Limits Re-Calculation

• Mx/MLC: Real Time versus End Of Day

• Troubleshooting

• Users / Groups / Rights Administration

teknoquants.com project experience tuning the Sybase ASE server as  performed in the following
activities:

• Configuring proper page size 

            teknoquants observed that larger page sizes can improve performance as ASE can

            access more data each time it reads a page. 

• Selecting  the proper layout for the Sybase devices

1. teknoquants observed that using raw asynchronous disk IO on character devices is the
best performing alternative, because it requires no particular configuration

2. Tempdb devices: minimize lazy writes to improve performance

3. Insure Tempdb size doe not exceed cache size

4. DirectIO should be off

5. To improve  performance, a data cache can be configured and bound to bound to the
database or database objects to reduce spinlock contention and keeps the tables in cache
 • Configuring the appropriate number of ASE engines

1. teknoquants  observed that to increase performance, it advised to  keep ASE engines busy
within a range of 50 percent busy and  80 to 90 percent busy.

• Eliminating data-access contention 

1.     To reduce data cache contention and increase performance, teknoquants added cache
partitions which separates the cache into partitions wherby each partition is protected by its own
spinlock.

• Tuning server-configuration parameters

1. In order to match user query demands with the correct optimization

techniques,teknoquants configured the appropriate Optimization goal from a list of four options
including:

     Fastfirstrow

     Allrows_oltp optimization

     Allrows_mixed optimization

     Allrows_dss optimization goal  

    2.          teknoquants chose an optimization goal based on the complexity of the queries of my

client's application

      Performing database-level tuning and Tools

• Log I/O size

1.          teknoquants observed that creating an 8 KB pool for the transaction log can
greatly reduce the number of log writes. 

• sp_sysmon to monitor overall performance

• teknoquants used the “Application Tracing” feature which was useful to output to a file

• teknoquants used Sybase Control Center through a web-browser

teknoquants.com performed Murex optimization and tuning to improve performance with  the
following
• Dynamic creations, as used in Mreport reports or extractions

• Datamart feeders / batches of feeders

• SQL queries from within filters, or externally in surrounding environments scripts and interfaces

• Payment processing / matching

• MxML exchange (architecture parametrization and JVM tuning)

• Trade processing and import

• Confirmations creation

teknoquants.com performed the following activites to save space and enhance performance

• Purging market data while allowing archiving and restoration of market data at future times

• Purging flow document history

• Purging audit trails

• Purging workflow history and data dictionary history

teknoquants.com performed additional application level activities which had a positive effect on
performance 

• Applied templates to generators, by matching their patterns thus reducing generator instances

• Removed unused and unreferenced generators

• Netting of trades, to aggregate positions, implementing netting contraints where applicable

• Purged trade data, after capturing and storing their relevant P&L (logical and physical purge)

teknoquants.com performed the following tasks which were found to be appropriate in High
Frequency Murex trading environments when closing out or reducing positions with counterparties
due to risk offsetting

• aggregated positions coming from upstream trading facilities

• reduced processing overhead in workflows

• Fine-Tuned of curve calibrations forOIS discounting and custom convexity adjustments

 teknoquants.com Datamart /Report Developer Projects

1. teknoquants.com configured Datamart to extract the revalued deal information from MX.3 so that
MLC can use this information as part of its EOD.

2. teknoquants.com configured the following To perform the MLC Risk Computation,

• A set of Dynamic Tables to generate deal information from MX.3

• A set of Datamart Extractions 

• A set of Datamart Table feeders

• A set of Datamart Batch of extractions

• A set of Datamart Batch of feeders

• A set of Processing Scripts

3.  Datamart Report Configuration

4.  Introduced Processing Script MLC_BF_LRB_REPORT_1feeds data into Datamart table

5. teknoquants.com created  Datamart report for the credit curves assignments for EOD and
Intraday

• Changed SQL in datamart extractions for the conversion of Margin Amount for LN_BRs so that it
will be calculated manually inside the SQL 

• Deactivated check box “Generate acknowledge file” in Parameters of batches of 

• Datamart extractions “C_E_CMOCOLMV_BE” and “C_E_CMOMVTID_BE”

1.         Made changes on Report Layout in Datamart-Viewer

• teknoquants.com developed a  new report which  must run in EOD. 

6. teknoquants.com developed a New Datamart-Report  to be run in EOD with:

• Processing Script

• Batches of Datamart Extraction

• Datamart extractions

7. teknoquants.com created Datamart Cap/Floor report Datamart report with total 47 columns and
Cap /Floor exotic Fields and sensitivities details

8. teknoquants.com corrected the Datamart extraction sql request C_E_NY_BO_TODDEAL_EXT_SQL

to execute the report for the correct date and made correction to the portfolio filter in the Batch    
of extraction ‘C_E_NY_BOTOD_BE’ to include the 3 correct portfolio nodes

9. Corrected Datamart  Swaption Volatility Report. 

    Clean up steps:

• Before importing the new changes the old in consistent objects from the Mx3.Prod needs to be
deleted.

 Below is the sequence of the deleting the objects

• Processing scripts: Config?Infrastructure?Processing center?Scripts definition

- C_E_MD_OSWP_VOL_F_PS

- C_E_MD_OSWP_VOL_E_PS

• Batches of table feeder and Extraction

10. teknoquants.com replaced  existing MReports for market data (Zero rates) with DataMart
objects based on Market data viewer.

11. DataMart Report modification:

     a. Replaced Field DC_TRNID by Field DC_TRDNB in Report Layout, horizontal Fields and Table
Relations

    

     b. Added new Table Relations to UDF-Tables to display field “UDF Clearing Status” in Report
Layout as last column

     c. Deleted of old Report-Objects regarding XXXPAYSWIFT-Report:

             (1) Deleted  Batches 

             (2) Deleted Output Devices 

             (3) Deleted MReports  incl. assigned Dynamic Tables.

12.  teknoquants.com created a new Datamart report for the credit curves assignments for EOD and
Intraday. These included:

• UC4 changes

• Move scripts changes

13. Adaption of Rights to get access 

   teknoquants.com modified: Data extraction->Datamart->Rights templates

14. Changes to the existing M-report

1 teknoquants.com navigated to < Extensions?All?Import/Export wizard >

teknoquants.com performed the following changes:

1) teknoquants.com added field “Group” (after field “MurexID”)

2) teknoquants.comI added  field “Counterparty Code” (after field “Kontrahent)

3) teknoquants.com added  the following fields (after field “Purchase date”):

15. Corrected DM Eod with verification:

  a, teknoquants.com corrected the extraction ‘C_E_ZD_OPTEXR_EXT’ nd extraction SQL request

‘C_E_ZD_OPTEXR_EXT_SQL’ to include the swaption deals with as of today in the report.

  b. Import Verification

Go to Config ? Data extraction?Datamart?Datamart extractions

16. Integration of a an existing report into a batch with verification

 Go to < Extensions->All->Import/Export wizard >

17. Modification of Report Extract – final field changed

18. Adaption of horizontal fields to retrieve correct Counterparty UDF Values

 teknoquants Murex API Development (completed projects)

Murex Integration Analysis and Development for Ubuntu 12.04 based Single Dealer Platform in the
following areas:

·         CEP development in java for  liquidity aggregation, rate formation, client tiering, dealer
intervention and smart order routing

·         HTML5 based front end application for Liquidity FX

·         Java Message Service (JMS) API enhancements to extend the functionality of JMS-compliant
message brokers.

·         Streaming for FX Aggregation

·         Streaming for FX Market Data Distribution

·         Streaming for FX Quoting and Price Distribution

Murex MxMLExchange SCRUM Structured Project tasks in the following areas:

·         Business Analysis and XSL development used to transform Murex MxML to FpML and CRD XML
formats.

·         Business Analysis/Development used in Integration of JMS with Murex MxML Exchange:

Ø  Business Analysis /Development of Java XSL extensions used in handling message properties

·         Business Analysis of imported contracts via message bus to the Mx Trade Repository

·         Business Analysis of imported security data for message bus to MX.3.1 exchange

·         Business Analysis of exported enhanced MxML contracts to the message bus

·         Business Analysis used in the Development of  FPML Interfaces from Murex and Datamart to
in-house confirmation and settlement systems

Business Analysis and  development of Murex MLC limits management component of the MX.3
framework  with Java  and Oracle databases
  

·         Murex java Business Analysis /Development of Confirmations, MxML Exchange, Workflows and
Back Office Modules.

·         Business Analysis /Development used in development of confirmations for Equities, IRD, FX,
Credit and Commodities for Mx 3.1

·         Business Analysis of MxML Exchange, Post-Trade, Mx formulas, XML, XSLT

·         Business Analysis of fworkflows.

·         Business Analysis of Settlement Instructions.

·         Business Analysis applied toUDF creation/modification.

·         Business Analysis of Back Office support

1. Murex  Developer /Analyst in the following areas

·         Delivered complex cross-asset MxML functionality front to back on Murex 3.1 for
Commodities, Equities, Credit, Derivatives, Foreign Exchange and Interest Rate product trading:

·         MX 3.1, Back Office Modules

·         Confirmations, MxML Exchange, Post-Trade, Workflows

·         Java, Jemmy, Spring, HTML, CSS, JavaScript

·         Oracle

·         Subversion

      2.Murex  Caps and Floor volatility surfaces

·         Smile curve structure

o At−the−money and smile links

      3.Murex Swaps

·         PnL on Trade Date

·         PnL on Settlement Date

·         PnL on Settlement plus 1

·         PnL on Maturity Date

  

    4.Murex Swaptions

·         PnL on trade date

·         PnL on settlement date

·         PnL on Maturity

·         PnL after exercise

o PnL on Swap

     5. Murex Volatilities

o Volatility surface

o Liquidity

     6.Murex Market Parameters

·       Interest Rates

·       Rate Screens

·       Foreign Exchange

o Swap Points Panel

teknoquants.com projects

·         Murex java development in Confirmations, MxML Exchange, Workflows and Back Office
Modules.

·         java murex development in confirmations for Equities, IRD, FX, Credit and Commodities for Mx
3.1

·         MxML Exchange, Post-Trade, Mx formulas, XML, XSLT

·         Modification of workflows.

·         Settlement Instructions.

·         UDF creation/modification.

·         Back Office support

Development in the following MLC components and api calls

·         MxMain.java

Ø  addDeal()

Ø  addDeals()

Ø  removeDeal(),

Ø  removeDeals().

·         XLrb.java

·         XCtp.java

·         XUtil.java

·         XResult.java

·         XMLWriter.java

·         XMLContainer.java

·         XMLRecord.java

·         XMLFile.java

       Analysis in the following Market Parameters Screens for FX:

·         FX Spot

·         Swap Point Panel

    1. Murex  Developer /Analyst projects in London in the following areas

·         Delivered complex cross-asset MxML functionality front to back on Murex 3.1 for
Commodities, Equities, Credit, Derivatives, Foreign Exchange and Interest Rate product trading:

·         MX 3.1, Back Office Modules

·         Confirmations, MxML Exchange, Post-Trade, Workflows

·         Java, Jemmy, Spring, HTML, CSS, JavaScript

·         Oracle

·         Subversion

      2.Murex  Caps and Floor volatility surfaces

 ·         Smile curve structure

o At−the−money and smile links

      3.Murex Swaps

·         PnL on Trade Date

·         PnL on Settlement Date

·         PnL on Settlement plus 1

·         PnL on Maturity Date

    4.Murex Swaptions

·         PnL on trade date

·         PnL on settlement date

·         PnL on Maturity

·         PnL after exercise

o PnL on Swap

     5. Murex Volatilities

o Volatility surface

o Liquidity

     6.Murex Market Parameters

·       Interest Rates

·       Rate Screens

·       Foreign Exchange

o Swap Points Panel

7.Murex MLC

8.Murex P&L

 
9.Murex MX3

10.Murex Deals Management

11.Murex Configuration

12.Murex Equity pricing