Quantitative Library Developer, Interest Rates/Inflation/Cross Asset Library
New York, NY
Posted Jun 23, 2022 - Requisition No. 104751
The Bloomberg's IR/Inflation/Hybrids Quant Analytics team is responsible for modeling, implementing and deploying market data models and derivatives pricing models in areas of the Interest Rates, Inflation and Hybrids, supporting the entire suite of Bloomberg products and services. This includes its terminal with 300,000+ clients, trading system solutions, enterprise risk management, and derivatives valuation service. The team ensures that state-of-the-art models driven by high quality market data are brought together in robust, fast and accurate implementations, keeping Bloomberg at the cutting-edge of derivatives analytics.
The group seeks a Quant library developer with significant experience designing and implementing large scale software in C++, specific to developing an interest rates/cross asset library for exotic derivatives pricing. You will participate in many stages of quantitative library development ranging from prototyping, production implementation, deployment and ongoing maintenance, as well as interaction with clients.
We’ll trust you to:
- Implement and integrate derivatives pricing models in the existing in-house interest rates and cross asset C++ derivatives pricing libraries
- Improve accuracy and performance of existing interest rates data models
- Improve accuracy and performance of existing pricing engines
- Document and communicate findings to internal and external clients as necessary
You'll need to have:
- Masters degree in a technical discipline (mathematics, finance, physics, engineering or similar field) required. Ph.D is preferred.
- 1-5 years of extensive C++ experience is required
- Strong practical knowledge of numerical techniques employed in derivatives pricing models (Monte Carlo, PDE methods often used in calibration and pricing, analytical)
- History of team collaboration and comfort in a multi-developer environment with a facility for interacting with quants, IT groups and product managers
- Strong oral and written interpersonal skills
- Knowledge of data or pricing models in relevant asset class
We’d love to see:
- Prior experience on implementation of interest rate pricing or data models
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