Quantitative Developer

1 month ago


Montreal, Quebec, Canada TradingScreen Full time
About the Job

TS Imagine, a global leader in trading and risk management SaaS-based software, is seeking a highly skilled C++ Quantitative Developer to join our growing Models and Quantitative Data team in our Montreal office.

Key Responsibilities
  • Design and develop models for pricing positions and calculating market risk metrics for all asset classes (equity, credit, FX, fixed income, commodities, crypto, and their derivatives)
  • Write modern, clean, reusable, well-tested source code in C++ that scales and performs well across large distributed systems
  • Leverage Python, SQL, and Snowflake to analyze model inputs or construct model inputs
  • Create methodology documentation to support model validation when needed
Requirements
  • M.S. or Ph.D. in mathematics, physical sciences, or engineering preferred
  • Excellent quantitative and programming skills with 3-5 years' experience in large-scale C++ development and program design as well as data-intensive products
  • Experience with other programming languages (Python, Java) is an advantage
  • Understanding of financial derivatives, market conventions, and their implementation is a must
  • Experience working on yield curves (OIS, Libor, Cross-currency, etc.), inflation curve, volatility surfaces, interest rate volatility cubes (eventually live/intraday) as well as the data to build them is highly desirable
  • Experience in developing risk management tools such as VaR, Monte Carlo, scenario analysis, and P&L is preferred
Why TS Imagine
  • Currently hybrid home-office (at least 3-4 days in the office)
  • 25 Vacation days and 3 Personal days
  • Annual bonus and salary review
  • Training budget $1,500
  • RRSP with 3% company matching
  • Health insurance
  • Subvention for public transportation (Opus & Cie)


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