XP on Wall St.

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13 Νοε 2013 (πριν από 3 χρόνια και 5 μήνες)

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XP on Wall St.

Credit Technology




Steve Hayes

(steve@khatovartech.com)


Introduction


The business problem


The technology requirements


What we built


How we built it


Results


Subsequent developments

Financial Risk


Every trade or position has risk/exposure


Mostly we hear about exposure to the markets


foreign exchange rates


interest rates


stock prices


There is also
default

risk

Credit Risk


There are different flavours of default risk


settlement, contingent, loan, market (sic)


Complex relationships between parties


subsidaries, joint ventures, guarantors


And management tools


securities, guarantee, netting agreeements

Credit Department


Monitor exposure to


individuals, companies, corporate structures,
industries, sovereigns


Set credit limits


by company, by parent company, by product, by
maturity


Technology Requirements


Regular updates on all credit exposures


from every department, in every subsidiary,
in every geographic location


approx. 500,000 open positions


Limit setting tools


lots of research, information aggregation,
workflow management

Crisis Management


What’s the impact of a company
defaulting?


We need to know
right now


We may want to stop outgoing payments


What about an industry in trouble


e.g. Californian electricity


Or a sovereign?


Rumours (e.g. Y2K)

Technology environment


Feeding systems treated as legacy


Perl, shell scripts, C++


Outsourced to Infosys, India


Staff retention forced us to Java


Global deployment issues


Web based solutions more manageable

What did we build?


Lots of information retrieval/aggregation


web based


Java servlets


framework for automating single SQL queries
(with parameters)


3 tier workflow management


Java application on the client


RMI server

What with?


JDK 1.1/1.2


Visual Café, Visual SourceSafe


In
-
house servlet engine


Emergent frameworks


virtual tables, servlet framework, database
abstraction layer


Build scripts


DOS, Cygwin, JUnit

How?


We used Extreme Programming


a small team (6 people) in a large IT
department (4,000 staff)


lots of freedom to choose development
approach


no “official” endorsement of XP

Local Adaptations


Three development “streams”


One per customer


Primary customer in London


Pairs stable for a week


Lots of domain friction moving from one
stream to another


Programmers reluctant to switch frequently


Customer proxies on smaller streams

Were we successful?


Productivity high


Customer satisfaction very high


We all kept our jobs


XP was mandatory even after my
departure

Later developments


Ant, Jikes


big benefits in speed, flexibility


JSP, Weblogic


Not clear that there was any productivity
benefit


Customer saw things slow down