Taka Harada

Our group is in charge of trading systems for FX Options. My tasks include the coding of the FLEX C++ code linked to Murex 3.1, and Java application, which connects to IBM Symphony grid, which runs our proprietary pricing-library. I was also tasked with the migration works of the FLEX C++ code from Murex 2.11 to Murex 3.1, and a Java-based MXML generation app for all of our FX Option products. The work also involved utilizing User-Defined-Sensitivities (UDS) and General-Market-Parameter (GMP) in Murex 3.1.

• Upgrade of the quants model that had previously been integrated in Calypso v13. • Development of new pricers that handle new customized GUIs. • Extension of the custom pricer to handle multi-threads to increase performance of Monte Carlo simulations.

• Design/Development/Testing of a curve-smoothing application with Swaps, MoneyMarket, FRA, Futures as underlying instruments.

• The Optimization of Calypso's equity exotic pricer. • The Model Validation of Calypso’ equity exotic pricer. • The Optimization of the equity exotic settlement report. • Integration of Client’s Proprietary Equity Derivative Pricing Routines into Calypso. • Upgrade Works of Calypso Version 11 to Version 13.

• Integration of Client’s Proprietary Cancellable Swap Pricing Routines into Calypso. • Integration of Client’s Proprietary Inverse Floater Cancellable Swap Pricing Routines into Calypso. • Integration of Client’s Proprietary Curve Generation Routines into Calypso.

• Design and Development of the new counter-party credit-risk management product. • Design and Development of a new script-based product that can define a highly complex deal. The product will be used to book highly exotic products that are beyond the scope of the normal Calypso products. The examples would be: • Callable Range Accruals • Exotic credit derivative deals • Deals that pay based on exotic index such as inflation index.

Design and Development of Interest-Rate Derivative Products as an extension upon Calypso system. The types of product I’ve integrated into Calypso include: o (Standard) Interest Rate Derivatives • Bermudian & American Swaptions. • CapFloors o (Exotic) Interest Rate Derivatives • Callable Range-Accruals • Inflation-rate Swaps • Snowball • Proprietary extensions of various parts of Calypso system, including: o Integration of distributed reporting system DataSynapse into Calypso.

• Supervisory responsibility of the development team (4 people) in New York. • Development and support of Equity Swap Trading System. • Migration work of old Visual Basic modules into C# modules utilizing various.NET technology, such as WinForm, ADO.NET, and XML. • Design and development of a web-reporting system, using Java, HTML, WebLogic and WebSphere.

• Design and development of various financial systems for the firm’s commodity and energy trading floor. These include: • New market data maintenance system using Visual Basic, and using SQL Server for database. • Trade booking system using Visual C++. • Basic quantitative libraries, such as generating interest rates curves, and pricing various exotic options (ex. European options, American options, Asian options, spread options, barrier options, swaptions, etc).

• Design and development of tools and applications for the firm’s Fixed-Income Trading Floor. These included: o Order management system, and P&L reporting system. o Quantitative library for interest-rates derivatives that utilized various pricing methods (Black-Scholes, Binominal Tree, Mean-Reversion Model, Monte-Carlo Simulation, etc).

• Design and development of online stock-trading system that trades with Tokyo Stock Exchange (TSE). Worked specifically on the gateway portion that communicates with TSE via serial line. • Worked at Morgan Stanley Tokyo as an outside consultant for a year • Worked at Merrill Lynch Japan as an outside consultant for a year