My experiences of computational science in an investment bank : C++, Spreadsheets and Scripting Languages.

Dr Alex Rowley ( Software Developer in the Interest Rate Derivatives Risk and P & L Components Group - BNP Paribas )

The role of a front office developer in an investment bank is not dissimilar to that of a researcher in computational science. The goal of the team that I work for is to provide interest rate derivatives trading desks with measures of their daily risk exposure. This is mostly provided in the form of numerically obtained parameter sensitivities of models to changes in volatility and cost of funding. Computing plays a central role in this, although the development of software applications is challenging ( mostly because the requirements and techniques of obtaining results change every day ). The end users of our data wish to be separated as much as possible from the technical details of its calculation, and require us to respond rapidly with a reliable and accurate solution to changes in requirements. This talk will present how the team I work in has designed its development process to meet this challenge, and discuss whether this development approach is useful in general for computational scientists working with experimentalists.