I had to overtake, maintain and enhance an inhouse
developed application landscape (C#/WinForms/MS SQL/Oracle/LaTex/..., 200’000 lines of
code) used for managing fixed income and currency overlay portfolios (retirement funds, funds,
wealthy individuals), 11 billion AUM were managed with this solution. The scope of the solution
was to manage and optimize these portfolios to key values such as duration density, liability
benchmarks, cashflow matching, interest rate and currency hedges. Portfolio data were loaded
on a daily basis from various sources, new trades were simulated and then executed over a link
to Charles River. There was also a hefty reporting part, producing HTML, Excel and pdf output.
I had to add interfaces to Reuters FxAll (FIX), Aladdin (XML & REST) during the transition to
Aladdin
