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Arif Jaffer B.A. ( B.Sc, B.IBus ), SCJP, SCEA, CQF
London W1U 5LG
Blog: http://www.bit-byter.com/
LinkedIn: https://www.linkedin.com/in/arifjaffer/
Profile
A Senior Front Office Java developer with a proven track record and extensive Development and Financial acumen gained over 30 years in Investment banking technology in Equites, Fx, Fixed Income, by delivering solutions and code to most of the worlds largest banks. A capable self starter and technical leader with a growth mindset, a build it and own it mentality, and the agility to deliver complex, highly available , scalable solutions on budget and on time.
Education
Richmond University, London — B.A. ( B.Sc, B.IBus ), 1991
Certificate in Quantitative Finance
Java Certified Enterprise Architect
Java Certified Programmer
Securities Futures and Options, Derivatives Trading Exam/SFA Registered Person
Commodity Derivatives Trading Exam/SFA Registered Person
Experience
Aug 2020 – March 2024 Westpac Bank (FICC) London, UK
Quant Java Developer, Front Office
- Lead Java developer working on Algo and Quant projects directly for the front office.
- Develop multi threaded projects in Java 8/11using TDD/BDD Cucumber interfacing to KDB/Q
- Created backtest prices in UAT from Q and Java Algo Orders to simulate using prod data conditions.
- Coded TWAP/VWAP calculations for FX and FX Crosses, calculated liquidity across currencies
- Coded post trade analytics and provided Risk Analytics based on specs from Quants/Traders.
- Coded Micro-services to read and write Kafka streams and create stateful/stateless transformations
- Tech stack TDD/Cucumber Java 8/11, Git/Stash CI/CD, KDB+/Q, docker, kafka, kubernetes
Aug 2018 – March 2020 Vanguard Asset Management London, UK
Team Lead, Java Developer, Front Office ( 1 Year 8 Months )
- Lead Java developer and architect for the Portfolio and Risk Management e-trading application.
- Develop multi threaded projects in Java using Restful micro services in Spring Boot, AWS.
- Coded the automation of Portfolio Optimisation calculations interfacing to a Quant Library.
- Created Cloud Formation code to create AWS infrastructure to move the monolith to the cloud.
- Used the strangulation pattern to move monolith code into Lambdas/Fargate/Dynamo on AWS.
- Coded Portfolio Optimizations for the Derivatives in each portfolio and then rebalance the portfolio.
- Worked with Kafka/Kinesis streams to consume data from producers and persist data into Dynamo.
- Managed a Full stack team, mentored junior developers and promoted design patterns and clean code.
- Created an Agile workflow model to replace the waterfall methodology to deliver business value faster.
- Tech stack was TDD, BDD, GIT, Bit Bucket, Java, Python, CI.CD pipelines, AWS, Spring Boot.
Feb 2014 – Mar 2018 Deutsche Bank, Risk Management London, UK
Tech Lead, Java Developer ( 4 Years )
- Technical Owner, Java developer and Architect for the Managed Fund Solutions Program front to back
- Wrote code to create a DSL (Domain Specific Language) using ANTLR and apply to the known Data Sets
- Coded the ANTLR DAG (Directed Acyclic Graph) and applied it to the data to create a rules engine.
- Provided multi-threaded code and Architecture to ensure code is scalable, de-coupled and adaptable
- Promote the use of Design Patterns, Functional/Imperative as well as Loose Coupling and encapsulation
- Coded Architectural components to reduce System integration outages, and ensure best practice
- Provide Analysis and code for more complex Exotic Option analytics and implied volatility calculations
- Coded the IR/Equity/FX Risk pricing, Duration / Convexity / Greeks, Interfaced to Pricers and models.
- Manage the books of work and the stakeholder relationship to MD level, creating technology roadmaps
- Capture complex business requirements, provide Functional/Architecture and review implemented code
- Implemented an Agile workflow model using sprints to provide a more flexible delivery mechanism
- Wrote Java/Scala/Spark to deliver more complex stories involving BI reports and Analytics.
- Acted as a scrum master/Tech lead, tech stack was Java 8/some C++/Some Scala/Spark, Impala, Cloudera
May 2013 – Dec 2013 London Stock Exchange (LCH), Rates and Swaps Risk Analytics and VAR
Java Tech Lead ( 8 Mos)
- Provide technical lead mentoring on the implementation of Design Patterns, Factories, DAO facades
- Coded an Interp library to use on 3d Volatility cubes and 2d swap interpolators Linear/Log Linear/…
- Lead the coding of risk Analytics, NPV, Delta, Gamma, Margin (IM / VM) and VAR for Inflation Swaps
- Wrote code to calibrate Inflation swap curves based on the observed market par rates ie: Inflation curve bootstrapping
- Used Taylor series and 10 years of historic Delta Gamma scenarios to calculate approximate PnL for VAR
- Wrote code for PnL and NpV breakdown to show attribution on the specific pillar point on the curve and show much Risk was owing to Discount curves and forward curves, and allowed for separate valuations of each leg of the trade.
- Wrote DOM parser for reading FpML using Document, NodeList, Element objects and creating Trade objects
- Used Google Protobuf for immutability and abstraction from the GUI (Swing and .Net) and up/downstream components
- I used Agile sprints, Java 6, Eclipse, Junit, TDD/BDD with Maven and Continuous build Hudson/Bamboo
Sep 2012 – Feb 2013 CREDIT SUISSE, Credit Risk
Senior Java Developer ( 6 Mos)
- Provide analysis of the Architecture in Credit Risk and Analytics for capacity planning and volumes.
- Define strategic changes to the Architectural roadmap and drive through their implementation
- Manage expectations of stakeholders; Business and Technical, to get buy in for my proposed solutions.
- Implemented the code and architecture changes that resulted from my Architectural analysis.
- Provided Business Analysis Cross Asset for FX, Derivatives, Interest Rates, FI and Equities.
- Consult with the BAs to performance tune data warehouse access and sanity check the models.
- Implement some of the data modeling to provide Counterparty credit Risk for Management / regulators.
- Implement Coherence Continuous Query caches and partitioned Caches to improve performance
- Tech stack was Coherence, Agile, Junit, JRockit 6, Multithreading, JMS, Sybase/Oracle 11g, Spring
- Data warehousing and performance tuning was on Oracle and Sybase, business Intelligence was SAP.
- Contract finished due to lack of budget and Headcount reduction within Credit Suisse.
Feb 2012 – Aug 2012 Paternity Leave
Aug 2010 – Jan 2012 JPMORGAN, Prime Brokerage, Cash Equity UK, NY, Sydney, Houston
Jul 2001 – Sep 2005 JPMORGAN, Equity Derivatives Senior HFT Developer/Tech Lead/Architect (6 years)
- Design Code and develop high Frequency, Low Latency Equity Trading OMS in Java
- Provided Business Analysis to gather trader requests and turn them into design and develop code
- Manage and enhance FIX interface to trading Algorithms and assist in debugging trades
- Enhance test and upgrade failover contingency code, and associated ksh awk scripts
- Add JMX monitoring and instrumentation functionality to the application
- Coded and enhanced DMA connectivity over FIX to various Exchanges
- Coded and added Algorithmic trading capacity to Equity flows and flows to .NET/C# GUI’s.
- Recruited and managed a team of Quant support developers, responsible for Analytics & Pricing Engines
- Acted as a hands on Lead developer coding requirements and enhancements to Pricing engines
- Acted as a Business Analyst/Architect for Equity Derivatives Risk as well as P+L reporting to traders
- Managed and delivered entire London overnight risk & PNL for Equity Derivative Desks in London
- Extensive de-bugging, analysis & dev. of Sybase stored procedures and scripts in java, Perl and awk
- Implemented significant improvements to in-house low latency messaging layer (Omnesys product)
- Primary internal Sonic MQ architect advising several development teams on interface options
- Technologies utilized included Java Server side development J2EE and core Java
- Acted as global Architect for replacing the in-house messaging system with Sonic MQ on Linux
- As global Architect I managed the multi-year project to move front office users to the new systems
- Worked directly with heads of business and Technical owners to drive through new architecture.
- Managed Onshore and Offshore teams and direct and indirect reports in Houston, NY, Asia,Glasgow
- Technologies utilized included Java Server side development J2EE and core Java,
- Concurrent/Multi threaded Java, Spring, TDD, Cruise Control, Scrum/Agile, Tibco, EMS, JMS, FIX, Sybase,Hibernate
Apr 2009 – Aug 2010 VTB INVESTMENT BANK, Equities/FX/MM
Quant Developer Equities IT EMEA
- Implemented Multi Threaded Monte Carlo model in java to create Probability Density Graphs.
- Implemented technology solutions for Front Office Risk Mgmt. (Pricing, Vol. Surfaces, Greeks, P+L)
- Implemented Java code based on Traders VBA code which defined the various greek formulae
- Designed/Implemented global VTB interface for Stock Borrowing/Lending, Repo & Russian Dividends
- Worked on both Listed and OTC Equity options, Stock Borrow Loan and integrated into in house OMS
- Acted as Business Analyst for OTC Equity options, Risk Metrics and P+L facing off to traders
- Managed the Equity derivatives development team in London with some reports in Moscow
- Technologies utilized include Java (with Oracle and SQL Server), IBM MQ, Junit/TDD & Cruise Control
May 2008 – Jan 2009 CERTIFICATE QUANTITATIVE FINANCE
- Included writing C++ and Java code for the following projects
- Equity Option Pricer using Monte Carlo
- Equity Option Pricer using Finite Difference method
- Bond Option Pricer using HJM model and Matlab/Octave for working out Matrices.
Jan 2008 – May 2008 MERRILL LYNCH, Equity Derivatives Senior Front Office Developer
- This was just prior to Merrill being taken over by Bank Of America
- Developed and maintained J2EE Linux app, utilizing MQ JMS Topic and feeding Fidessa
- Enhanced SOAP based messaging system (JAX-WS) to extract real-time prices from KDB DB
- Created JSP pages utilizing XSLT to reconfigure and display XML data
- Built Java Swing GUI (using JAXB marshalling) allowing clients to send XML to various end points
- Involved in Greenfield Project and selected technologies such as Scrum/Agile/Spring/Junit/Log4j and TDD
Oct 2005 – Sep 2007 BANK OF AMERICA, Rates, Currencies & Commodities Senior Developer/Architect
- Managed EMEA Application Engineering Team, both onshore and offshore, and in Chicago
- Provided architectural advice and technical solutions to various development and support teams
- Built London Rates trading platform from scratch using the model setup in Chicago
- As Currencies developer, integrated vendor OMS with in-house applications
- As Currencies developer, assisted vendor to implement real-time credit system (Algorithmics)
- Technologies utilized were Java Server side development J2EE and core Java, Concurrent/Multi threaded
- Toplink, EJB, JNDI, Borland Enterprise Server, JMS, Sybase
- Concurrent/Multi threaded Java, Spring, TDD, Cruise Control, Scrum/Agile, Tibco, JMS, Sybase
- See JPMorgan 2010 to 2012
Apr 1999 – Apr 2001 SEI-MITSU Senior C++ Developer/Primary Architect
- Designed & implemented billing system as a Greenfield development project (n-tier architecture)
- Familiarity with SQL 2000/Sybase 11 on Linux, Visual C++/MFC , Visual Basic and Excel
- Experience of utilizing DB Libraries, ASP running on IIS, Java/JDB running on Apache
Jul 1998 – Dec 1999 GOLDMAN SACHS, Equities Front Office C++ Developer
- Maintained and refined Stored procedures and SQL as part of the global equities trading platform
- Implemented front/back end enhancements with CORBA orbs, scripts in c-shell and Perl 5.
Jul 1997 – Jul 1998 CREDIT SUISSE FIRST BOSTON Front Office Developer
- Assisted in development of global platform for all CSFB Emerging Markets Trades
- Delivered Market Risk Object by building VB5 application that was fully OLE compliant
Jul 1996 – Jul 1997 NATWEST Markets Front Office C++ Developer
- Developed and maintained money market confirmation matching system (NT front-end, Sybase)
- Familiarity with Swift, Atlas, Bess
- Enhanced Marked-to-market system to improve clients view of outstanding positions
- Completed SFA exams and became part of FX Options Trading Desk
Details of the following experience available on request:
06/96 – 07/96: BB Software/Intel based OpenGL.
05/95 – 05/96: Sema Software / Rail Track Privatization
12/94 – 05/95: Contract with CSC/FORD Motors GmbH
11/93 – 11/94: Contract with Sytech/Mitsubishi Finance
07/93 – 10/93: HLP props and Booth White
03/93 – 06/93: Contract with Zanan computers.
01/91 – 12/92: Programmer/Analyst with BB Computing.
01/90 – 12/91: Programmer with Navrose Ltd (Taken over by BB Computing)
| Tech Skills |
|---|
| Java Server Side, Multithreading, concurrency |
| J2EE, EJB, JAXB,XML/XSLT, Jax-WS, Soap Rest |
| Scala/Akka, functional programming |
| Oracle, Sybase, T-SQL, sp’s, perf. tuning |
| OO programming, Design Patterns |
| Tibco, EMS, JMS, SOA and MQ Messaging |
| Bloomberg, Reuters, Coherence |
| Scrum, Agile, Maven, Junit, TDD,SVN,Bamboo |
| Big Data, Spark, ML/AI, Impala, ETL |
| AWS CloudFormation Lambda Dynamo DB |
| kafka / Kenisis, micro services, Kubernetes, docker |
| Microservices Strangler Saga patterns |
| API Gateway Rest Spring |
| Business Skills |
|---|
| Quantitative Modeling, Black Scholes, Finite Diff |
| Volatility Surfaces and cubes modeling |
| Monte Carlo methods |
| Equity Derivatives OTC and Listed |
| FX Spot/Option Strategies and Trading |
| Rates, Swaps, Cap/Floor/Collars, Fixed Income |
| Risk Analytics, Delta, Gamma, VAR, Convexity |
| Financial Information eXchange (FIX), DMA, HFT |
| PnL attribution, NPV, IM VM and Scenario VAR |
| Some ML POC’s Naïve Bayes, K Mean |
| FX Market microstructure |
| KX Q and Ticker plants |