Senior Software Engineer - Derivatives
Posted Apr 13, 2021 - Requisition No. 90141
Overview of the team
In the Derivatives Pricing teams, we build a unified platform that helps Bloomberg customers structure and get transparent valuation and analytics for the most simple, to the most bespoke financial derivatives products. We take pride in solving the wide variety of challenges associated with pricing derivatives, including building and improving large scale distributed systems, designing rich APIs and user interfaces, writing efficient market data management pipelines and integrating state of the art mathematical pricing models.
Our goal is to be able to handle millions of intraday P&L and Risk calculations, which powers all of Bloomberg risk analytics platforms as well as direct clients systems.
What's in it for you?
You will focus on developing a modular framework that provides users the capability to price any derivative payoff. You will become proficient in functional programming (OCaml) as it’s employed in several core components such as (1) Instrument Definition, (2) Payoff Scripting and (3) Derivatives Lifecycling. Performance pricing will be accomplished using highly condensed expressions of a derivative instrument's payoff. We will be utilizing our high performance Linux farm to host the new pricing infrastructure; this will help us scale our servers to the needs of our ever-growing enterprise client base.
You will gain a great mix of design and technology skills, as well as the opportunity to learn about the derivatives domain. You will be part of a team that applies unique technical solutions to analytical and algorithmic problems, closely linked to the domain of financial derivatives. Finally, you will get significant exposure to market expertise by collaborating with business managers, financial engineers and quantitative researchers.
We’ll trust you toBe actively involved in the design and development of the various components of this new system.
Employ functional programming in building new systems and improving existing ones wherever possible. We use OCaml extensively to build applications and components
Be a team player and collaborate with the various teams across Bloomberg to build a unified system that is asset class agnostic.
Understand performance requirements of our enterprise clients and design solutions that can maximize throughput with optimal CPU utilization.
Champion new technologies, advocate for the latest developments and best practices in the open source community, challenge the status quo and inspire others to improve their craft.
You’ll need to haveFunctional programming experience. You understand the benefits of composition, search for sum types in any language you write and dearly miss pattern matching where you don't have it.
Good communication skills to work with various business units to understand and refine requirements.
Experience with distributed systems and relational databases.
We’d love to see:Interest in learning about the derivatives markets.