Curve Library Developer

New York, NY 10012

Post Date: 08/10/2018 Job ID: 10731 Category: C++

Developer – Curve Library

 

Job Description:

The analytics team builds and maintains a suite of analytics libraries to support its investment activities across all financial markets.  Recently, our client entered into a strategic partnership with the Beacon Platform to deliver quantitative research and analytics to portfolio managers globally.  The candidate will partner with the analytics team to build out the firm’ s analytics libraries, focusing on optimizing the code, constructing clean APIs, and building robust testing.  The role will primarily be working on a new set of curve libraries being built for the beacon platform. The initial business deliverable will be to deliver swaps pricing globally on the Beacon platform, with additional deliverables in additional asset classes and risk in the future.

 

Responsibilities:

The candidate will be responsible for creating highly performant c++ curve construction code, working closely with the interest rates modeling team. The candidate will also partner with wider technology team to integrate the library into the mainstream technology solutions.

Position Requirements:

Requirements:
  • 5+ yrs development experience, with deep knowledge of C++
  • Python experience a plus
  • Interest rate analytics knowledge required 

 

Benefits:

Our Client is committed to offering a comprehensive portfolio of employee benefits designed to support the health and wellbeing of you and your family. These benefits include medical, dental and vision coverage from your first day of employment.

• 401k Savings and Retirement Plan

• Work/Life Programs such as Flexible Work Arrangements, Parental Leave & Support, Employee Assistance Plan, and Educational/CFA Certification Reimbursement Programs.

 
C++, Interest Rates

Evan Pollock


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