C++ Quant Developer

Responsibilities:

Implement Treasury Futures Model in C++ as per Client’s Quant Library standards.
Expand existing test suites and validate model accuracy.
Collaborate with quantitative analysts to translate mathematical models into production-quality code.
Optimize and modernize analytics infrastructure for fixed-income securities.
Maintain version control and ensure code quality through rigorous testing.

Skills & Qualifications:

Proficiency in C++ with experience in financial libraries (e.g., QuantLib).
Strong knowledge of fixed-income products, particularly Treasury Futures & Options.
Experience with numerical computing, financial modeling, and Monte Carlo simulations.
Ability to write clean, efficient, and testable code.
Familiarity with Git, CI/CD, and Agile development methodologies.
Experience working with quant teams in a high-performance computing environment.

Key Focus Areas:

Mathematical Modeling & developing pricing/risk models.
Developing risk models for portfolio management, VaR (Value-at-Risk), and stress testing.
Writing C++ code to prototype and implement financial models.
Calibrating models to market data and ensuring statistical robustness.
Working closely with traders, portfolio managers, and quants to translate models into trading strategies.

Technical Expertise Required:

Programming: C++ & Python for model implementation and data analysis.
Mathematics & Finance: Stochastic processes, probability, linear algebra, and option pricing (Black-Scholes, Heston, SABR).
Numerical Methods: Monte Carlo simulation, PDE solvers, finite difference methods (FDM), finite element methods (FEM).
Statistics & Optimization: Kalman filtering, regression models, convex optimization.
Machine Learning (Optional): Applying ML for signal detection in trading.