Description

You will implement Treasury Futures Models in C++ following established Quant Library standards.

Responsibilities

• Implement Treasury Futures Models in C++ and expand existing test suites to validate model accuracy.
• Translate mathematical models from quantitative analysts into production-quality code.
• Optimize and modernize analytics infrastructure for fixed-income securities.
• Develop risk models for portfolio management, VaR, and stress testing.
• Calibrate models to market data to ensure statistical robustness.

Required Skills

• 5+ years of experience in quantitative development.
• Proficiency in C++ and Python for model implementation and data analysis.
• Strong knowledge of fixed-income products, specifically Treasury Futures and Options.
• Experience with financial libraries such as QuantLib.
• Deep understanding of stochastic processes, probability, linear algebra, and option pricing (Black-Scholes, Heston, SABR).
• Practical experience with numerical methods including Monte Carlo simulations, PDE solvers, FDM, and FEM.
• Knowledge of statistics and optimization, including Kalman filtering, regression models, and convex optimization.
• Familiarity with Git, CI/CD, and Agile development methodologies.
• Experience working in high-performance computing environments with quant teams.

Preferred Skills

• Experience applying machine learning for signal detection in trading.

Key Skills

Education

Any Graduate