2016 -> 2017 La Française AM (Quant support & NoSQL Data migration)

La Française AM Logo

Marklogic Integrator (Big Data – NoSQL) and Matlab/C#/Java Quant technical support

Risk database and workflow migration responsible

Employment Dates Feb. 2017 – Jul. 2017

Employment duration 12 month

Location Paris, France

Technical Achievements

– SQL Server 2014 (OLAP and OLTP association) vs Marklogic benchmark
– Stored procedure and pipeline processing workflow integration (XPath, T-SQL)
– Marklogic bi-temporality integration, alerting, pipelines features integration
– Big Data management steps integration :
–> data Ingestion : HTTP Web-dav protocol, MLCP
–> pre-control : Custom Excel parametric content validator integration
–> processing : transformation routine integration (XQuery -> Functional implementation)
–> post-control : XML/XSD design and ruleset integration
–> persistence : instance identity definition and persistence integrity management (XQuery -> Functional implementation)
– Data Exposition with ODBC interface server and Rest Services
– Process installation tools development (Powershell, Roxy, Ruby, REST)
– Data driven development :
–> Data consistency tests designing, integration and automation (Data driven development)
–> Integration/Processing performance testing
– Related BI programs tools benchmarking (QlikView, PowerBI,Tableau)

Management tasks

– Standup meeting organization (Agile)
– Milestone meeting organization, demonstration and presentation (Weekly) (Agile)
– Coordination with system administration for delivery purposes and hardware sizing
– Coordination of the offshores development teammates (communication with Serbia – MS Line)
– Technical and teaching support to Risk service on Marklogic, XQuery, XSD, XSLT, Javascript, JSON…voir plus

Integration of insurance financial products market stress testing simulator (Solvency II and derivates legislation) (massive computation).

Analysis tasks

– AIOPA Solvency II legislation rulesets analysis
– Customer needs analysis and computation model conceptualization

Quant support

– Excel requested GUI dashboard integration and interfacing (VBA, Matlab XLLink)
– Datasource interfacing and retrieved data correction workflow setup (C#, Matlab, COM)
– Custom inversion control Matlab architecture integration (Matlab, Java)
– Stress application (Vol shocking, Rate shocking …)
– Pricing engine interfacing, computation orchestration (Matlab 2016 R2)
– Simulation result database design and integration (SQL Server 2014)
– Matlab/Sql Server interfacing (Matlab, ADO.Net and Matlab Database, ODBC)
– Matlab process logging routine integration with log4j integration (not logm)
– Remote console listener implementation for monitoring purposes (Java, Swing)
– Database report result extraction tools implementation (SQL Server, C# 4, Excel Interop framework)
– Test Driven Development (TDD) and Data Driven Development
– Performance optimization with Matlab vectorization and functional programmation rules
– Multiserver computation with Matlab Parallel extension (Parpool and DHCP) -> custom serialization management
– Technical documentation writing
– Black Scholes diffusion computation optimization with Graphic Cards (Nvidia CUDA 8.0, Tesla and GTX 680)

Solution commissioning
– Data and result validation
– Performance tuning and monitoring

– TFS source control tools introduction
– Continuous delivery introduction with related job setup (Gated checkins, builds, testing and delivery)