Position: C++ developer
Company: Luxoft
Category: C++
Experience required: 3y
English level: intermediate
Published: 2021-01-01T00:00:00+02:00

With a dynamic combination of data, insights, technology, and news, our customers can access solutions for every challenge, including a breadth of applications, tools, and content—all supported by human expertise.
 
In the context of high demand for commodities products, we are looking for a quantitative developer contractor to enhance the quantitative libraries Adfin and Price-It. The quant contractor will have to enhance models, increase commodities derivatives pricing coverage and deliver an API that will be used in the context of Quantitative Pricing Services on Market Data Solution on public cloud.
Responsibilities:
1. Develop new financial models or maintain existing models in C++ (find closed formula or implement models using trees, PDE, Monte Carlo framework).
2. Extend the coverage of supported instruments in commodity market (Calendar spread option, commodity swaps)
3. Enhance derived Market Data for C&E Market (Review Implied Volatility SVI algorithm, Fair Value Curve)
4. Tailor the interfaces and monitor performance such that new features are efficiently integrated in the Analytics platform
5. Test the models in collaboration with our QA group using Market Data.
6. Provide functional support to customers or support teams
Mandatory Skills Description:
1. Self-driven, goal-oriented team player with good communication skills
2. University or graduate degree in a quantitative discipline such as Computer Science, Mathematics, or Engineering. Can be a DEA or engineering school with a specialization in finance.
3. At least 2 years of relevant experience as IT Quant on a desk or in a risk management department.
4. Proven track record in model implementation (Tree, Monte Carlo, PDE) on Fixed Income or Inflation
5. Strong object-oriented programming skills (At least 3 years of development experience in C++ or/and C#)
6. Knowledge of python is welcomed.
7. Knowledge of software delivery process (tests, continuous integration, agile methods, ...)
8. Ability to work in an international environment with French teams