Quant Developer (C# ) – Pricing Library Development

Scope AT Limited

Our client is a leader in web-based portfolio management tech and outsourced services across the investment management and trading functions. They offer a browser-based client service driven by a significant AWS deployment leveraging the firm’s renowned quant analytics library with a cloud-based SaaS application suite.

In this role you’ll be working to develop their C# derivative pricing library and produce code for running the library in a distributed manner.

You will enjoy exposure to cross-asset derivatives across: FX, interest rates, equities, credit & commodities. They are now significantly increasing capacity and performance and this represents an incredible time to join a rapidly growing business with strong institutional backing and a great proven track record in delivering world leading portfolio management services.

TECH STACK:

• C#.Net Core 3.1 which calls in to a C++ proprietary quant library and presents the results in a JavaScript/React Front End.
• Hosted on Linux in AWS
• Messaging via Redis
• GitLab for Source Control, CI/CD and issue tracking

KEY RESPONSIBILITIES:

• To develop and enhance the C# derivative pricing library as well as code for running the library in a distributed manner.
• Work may include derivatives across: FX, interest rates, equities, credit or commodities portfolios
• Build new features eg historical analysis, factor models, screening
• Support for user preferences

KEY SKILLS & EXPERIENCE:

• 5-10+ years’ of experience developing applications in C# with good knowledge of coding fundamentals
• Knowledge of the standard pricing models eg Black Scholes, sensitivities, with a strong understanding of derivatives in at least one asset class
• Experience working with interest rate curves, vol surfaces and other market data
• Great communication skills and the ability to work as part of a team & build consensus around a design
• Ability to explain complicated concepts with ease