Description
My client, a tier 1 investment bank, is looking for a quantitative analyst to join on a 6 month contract.
The team in which the position sits is responsible for providing the analytical models which are used for pricing securities, and risk managing the Firm's positions throughout the Markets' businesses.
As the ideal candidate you'll:
*Develop a strongly typed API for use in back-test simulator for client. This will wrap existing models such that IT system can define custom indices on client request.
*Develop new models that provides validation for strategies where clients have an active management role.
*Develop a set of API functions to produce index statistics and derived index series.
*Develop model(s) to produce performance attribution on indices.
You'll be expected to have at least 3 years C++ development experience within a commercial environment preferably using Visual Studio, and or a minimum of 3 years Python development experience in a commercial environment.