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Orlando Calvo Quant Demo Portfolio

My projects reflect my interest in finance, UI design, and perfoormant analytics. I build tools for research and strategy development with the goal of smoothing out the kinks.

Selected Demos

Symcoe Interest Rate Simulations

Symcoe Interest Rate Simulations preview

Description

Interactive examples of interest rate term structure models built with Symcoe. The page collects multiple rate-model simulations, shows both path and curve perspectives, and runs the simulations locally in the browser with tooling designed to handle large plotted datasets without locking up the UI.

Demonstrated techniques and technologies

  • Rust for Monte Carlo simulation and numerical computing
  • WebAssembly and web workers for in-browser execution
  • Interest rate modeling across short-rate and forward-rate frameworks
  • D3 and canvas-based rendering for large simulation plots
  • Arrow IPC for efficient transport of typed simulation data
  • GPU-accelerated browser-side simulation workflows

Tick Data API

Tick Data API preview

Description

This notebook uses a market data client I designed for ML feature extraction and research. It queries a massive tick database and aggregates ohlcv bars according to the specified parameters. Bars are aggregated by time, tick, volume, and dollar values to make the time series friendlier for ML models. Instructions are provided on downloading the data set, but by default it runs off a very rate-limited endpoint tied to my own Snowflake account, for demonstration purposes.

Demonstrated techniques and technologies

  • Snowflake data warehousing
  • Python data manipulation with Polars
  • Dependency Injection
  • Intuitive API design
  • Efficient SQL query construction
  • Research tooling for ML feature extraction
  • HTTP API design and rate-limiting strategies
  • AWS Lambda for serverless API hosting
  • Database role-based access control and security best practices

SOFR Swap Pricing

SOFR Swap Pricing preview

Description

The site lets you see the real-time pricing of SOFR swaps. Market data can be bumped or sped up. Pricing happens through Taylor approximations. Sort through 5MM swaps and click on any one of them. You can see its details, risk, cashflows, and fixings. Daily fixings tick along with market data. You can revalue the swap. Click on the counterparty and you see the aggregation of all swaps with that counterparty — the ticking exposure and binned distribution of ticking expected cashflows.

Demonstrated techniques and technologies

  • Python for financial engineering and risk management
  • Ability to handle large datasets (5MM swaps) efficiently
  • Writing efficient Python code for real-time applications
  • Web development with React and TypeScript, and server-side rendering for performance
  • Financial engineering concepts like swap pricing, curve calibration, Jacobian and Hessian calculations
  • EOD valuation and first- and second-order sensitivity pipeline for efficient intraday revaluation and risk management
  • Data visualization for risk and exposure analysis