Quantitative Developer
1 month ago
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
- 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
- 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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