Prashant Desai

Experience

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  Morgan Stanley (via vendor TCS)

  Jan 2003 - Jan 2004

  Delivery Manager

  Production Support for various Equity Risk Applications (C++, Unix, Sybase, SQL)

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  BMC Software

  Oct 2005 - Aug 2007

  Senior Product Developer

  Feature development and maintenance of BMC Remedy Server, a Multi-threaded high throughput C++ server on Windows and all UNIX Flavours.

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  Deutsche Bank (via vendor HCL)

  Sept 2007 - Jan 2009

  Senior Production Support Analyst

  Provide production support to Traders for DB Trader, an in-house developed application handling STP processing of OTC Derivatives. It generates downstream feeds for payments, Accounting and P&L systems.

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  Citi (via vendor HCL)

  Jan 2009 - Jan 2011

  Senior Developer & Team Lead

  Technical lead role for CITI inhouse developed Commodity Derivatives Application, ComSys in the FICC group (Fixed Income, Currencies & Commodities). ComSys supports both OTC Derivatives & Exchange Trades. It provides complete trade lifecycle management, from Deal Pricing, Capture, Risk Management to Settlements. Its written in C++ on Solaris.

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  Investec

  Apr 2011 - Dec 2020

  Senior Software Developer

  Calypso Developer (Sep2016 - Dec2020) Developing new functionality for the Calypso Trading and Risk Management system. Work done under different projects included: • Build and maintain interface to handle FX trades import and life-cycling in Calypso (FXSpot, FXOption, FXForward, FXSwaps etc.) • Maintain in-house Payment Engine implemented in Calypso. • Add new pricers and customise core Calypso pricers. • Automate import and updation of Market Data (Curve constructions, VolSurfaces, Commodity Curves etc.) • EOD Batch jobs performance improvements by in-memory Caching, Multi-processing, Multi-Threading strategies. Technical Skills - Java, Linux, Unix Shell scripting, Sybase. Business Knowledge - Knowledge of FX, Cash, Commodity Products, Risk Management, Pricing Front Arena Quant and Risk Developer (Apr2011 - Aug2016) Developing new functionality for the Front Arena trading system for the SED Desk (Structured Equity Derivatives). Development of a Risk Analysis Engine and its implementation in Front Arena. Migrating it to AWS Cloud. Work done under different projects included: • Develop and maintain a suite of Risk-Factors Analysis reports that display various greeks for exotic equity instruments. • Exotic Impact reports (which simulate the effect of different exotic features for equity options). • Develop and maintain a PLA (P&L Attribution) engine • Enhance and maintain the C++ Model for Monte Carlo Priced options. Technical skills required - Python, C++, SQLAlchemy, Sybase, Unix Shell scripting, AWS. Business knowledge - Risk Management, Modelling of structured equity derivatives, Integration of C++ Quant Models in Python code. Show less