Quant Developer COH 2.0

• Implementing high performance pricing models (futures, averaging futures, spreads, Black 76/Bachelier options) in modern C++
• Developing and optimizing scenario generation pipelines, including historical shocks, filtered historical simulation (devol/revol), interpolation/extrapolation of curves, and vol surface transformations
• Building scalable, deterministic portfolio revaluation engines for VaR/ES calculations
• Developing clean APIs for curves, vol surfaces, fixings, calendars, and risk factors
• Ensuring numerical stability, vectorization, memory efficiency, and unit test completeness
• Closely collaborating with quants and risk analysts to translate mathematical specifications into correct, maintainable software components

A Quantitative Developer (C++) who will design, implement, and maintain the analytical and computational components of the margin and risk modeling framework. The developer bridges quantitative finance, numerical methods, and high performance engineering, delivering robust, efficient, and production grade tools for scenario generation, pricing, and risk aggregation., * Strong modern C++ (C++17/C++20) with focus on performance, memory model, templates, and numerical programming

• Experience with numerical methods, optimization, interpolation techniques, and root finding (e.g., Brent solver)
• Understanding of financial derivatives: futures, options, implied volatilities, forward curves, discounting
• Experience building models involving VaR, ES, scenario based risk engines, historical simulation
• Ability to implement time series filtering (EWMA, long/short memory), curve construction, and shock transformations
• Solid engineering practices: CI/CD, unit testing, deterministic computation, profiling

Desirable skills:

• Familiarity with risk systems, margining models, and large scale portfolio calculations
• Experience with Python for prototyping and backtesting
• Knowledge of parallelization (OpenMP, TBB, or GPU), and performance tuning
• Strong communication skills for working with quants, model validators, and risk managers