A high-performance quantitative framework for simulating dynamic QIS (Quantitative Investment Strategy) indices. Implements Monte Carlo methods to price derivatives on strategy indices with a focus on modern C++ memory management and template metaprogramming.
C++
SA-CCR & Counterparty Credit Risk Analytics
A cross-language analytics engine that simulates Monte Carlo exposure profiles for IR, FX, and Equity derivatives. Computes EAD (Exposure at Default) under the Basel III SA-CCR framework.
C++/Python
FX Black-Scholes Engine
A precise implementation of European FX option pricing including domestic/foreign discounting and high-order Greeks. Features a robust Newton-Raphson solver for implied volatility calibration.
C++
Monte Carlo Option Pricer
A modular implementation of path-dependent simulation for European contingencies, focusing on variance reduction techniques and computational efficiency.
C++
Risk Management & Regulatory Modeling
Operational Risk Capital Modelling (CCAR)
An end-to-end capital planning tool that simulates operational loss events (Cyber, Fraud, Algorithmic Trading) using Loss Distribution Approach (LDA). Aggregates frequency and severity distributions into a regulatory-standard capital plan.
C++
ATM Risk Testing Framework (C++17)
An automated validation suite designed for risk model governance.
Generates regulatory-grade reporting (JUnit XML/CSV) to ensure model integrity against edge-case market scenarios.
C++
Strategy Research & Data Science
Multi-Class Statistical Learning Pipeline
A generalised end-to-end ML pipeline for tabular data. Decouples configuration from core quantitative logic, designed for rapid prototyping of classification tasks in systematic trading and research.
Python
Strategy Backtest
An extensible, event-driven backtesting engine for evaluating rule-based strategies. Focused on clean architecture and separation of concerns between execution logic and historical data ingestion.
Java
Nasdaq Insight Dashboard
A sophisticated data visualisation interface built with Plotly/Dash to extract and present actionable client insights from high-frequency market data.
Python