Quant Library Architect Team Leader

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Bloomberg
  • 16 Oct 18

Quant Library Architect Team Leader

The Quant Library Architect will work in Bloomberg's OTC Derivatives and Structured Products department and will be trusted to:

  • Design a stand-alone quant library architecture and class structure
  • Take ownership of the pricing library, including review of quant code, integration into the pricing library, testing and quality assurance of pricing models, version control of library releases, and overall compliance to the standards established
  • Establish programming standards, testing procedures, documentation guidelines and best practices for any new development of derivatives models by Bloomberg quants
  • Lead the integration of the reusable quant code into the target library
  • Understand Bloomberg's code base including legacy code and its dependencies with other libraries and applications

You'll need to have:
  • Significant experience in object-oriented (specifically C++) design and implementation of multi-asset class financial model libraries for derivatives pricing
  • Strong skills in efficient software implementation, including parallelization and GPU computing
  • Good knowledge of numerical methods in Finance such as Monte Carlo and SPDE
  • Good knowledge of Mathematical Finance models for derivatives pricing
  • Developed a scripting language for derivatives pricing
  • Significant prior development experience on multiple Unix/Linux hardware architectures (servers, SMPs, clusters, GPU-based machines) and Windows desktop platforms
  • Strong knowledge of at least one functional programming language, preferably OCAML
  • Significant experience of quant work in a major investment bank
  • Good knowledge of derivatives markets, preferably across asset classes
  • PhD is preferred

If this sounds like you:
Apply if you think we're a good match. We'll get in touch to let you know what the next steps are, but in the meantime feel free to have a look at this: http://www.bloomberg.com/professional

We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, color, national origin, gender, sexual orientation, age, marital status, veteran status, or disability status.