Quant Developer, Enterprise Products
New York, NY
Posted Sep 1, 2021 - Requisition No. 93825
Bloomberg's Quantitative Derivatives Library Architecture team is responsible for the infrastructure behind Bloomberg's derivatives pricing models, and supporting its risk management and derivatives valuation services. A large part of this infrastructure is written in OCaml, notably the BLAN language, a client-facing DSL for describing derivative contracts.
The team is looking for a developer with interest and experience in compiler design and implementation, especially in the context of functional programming languages. In this role, you will have the opportunity to participate in the development of BLAN, as well as the tooling and libraries around it. This could include implementing language features, such as gradual types or a new backend; developing tooling, such as a Jupyter kernel or a debugger; and writing a new library in BLAN, such as a lens library. Experience with quantitative analysis is not required.
We'll trust you to:
- Come up to speed on BLAN and the tooling around it
- Design and implement new language features, tools or libraries
- Pitch your own ideas for features, tools or libraries
- Work independently and in collaboration with your team members
You’ll need to:
- Have 3+ years of academic or professional experience programming in a functional language, especially a statically typed one.
- Have 1-2 years of academic or professional experience designing and implementing compilers or interpreters.
- Have a MS or PhD in Computer Science, Computer Engineering, Math, or related field, or equivalent experience.
- Have genuine enthusiasm for programming languages and functional programming!
- Be able to come to the office for at least three days per week
We'd love to see:
- Extensive experience with OCaml, Haskell, F# or SML, and especially familiarity with their implementations.
- Experience implementing static types systems, and especially type inference.
- Familiarity with derivatives pricing models.
If this sounds like you:
Apply if you think we're a good match and we'll get in touch with you to let you know next steps. In the meantime, check out http://www.bloomberg.com/professional.
We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, color, national origin, gender, sexual orientation, age, marital status, veteran status, or disability status.