Consultant - C# or C++ Quant Developer (6 months)

  • Competitive
  • London, England, United Kingdom
  • Permanent, Full time
  • Chicago Mercantile Exchange
  • 10 Dec 18

Consultant - C# or C++ Quant Developer (6 months)

Description
CME Group: Where Futures Are Made

CME Group (www.cmegroup.com) is the world's leading and most diverse derivatives marketplace. But who we are goes deeper than that. Here, you can impact markets worldwide. Transform industries. And build a career shaping tomorrow. We invest in your success and you own it, all while working alongside a team of leading experts who inspire you in ways big and small. Joining our company gives you the opportunity to make a difference in global financial markets every day, whether you work on our industry-leading technology and risk management services, our benchmark products or in a corporate services area that helps us serve our customers better. With 2,500 employees located around the world, we're small enough for you and your contributions to be known. But big enough for your ideas to make an impact. The pace is dynamic, the work is unlike any other firm in the business, and the possibilities are endless. Problem solvers, difference makers, trailblazers. Those are our people. And we're looking for more.

The business objective is to help the team extend and support the cross asset class ( FX, Rates, Crédit, Equity) C sharp quant library to more products and more services. 
 
The library currently includes basic quant functionalities (pricing and Greek calculation , instrument definition, financial object definition, optimization and so on) and higher level services like settlement calculation, compression and risk estimation ( initial margin) for linear and non linear products.
 
The contractor will also be involved in a project which will provide automation, using quantitative methods, of data cleansing processes across products ( actual and new products) from different asset classes. The project will require the development of multiple approaches for the following data cleansing operations: verification of data using market constraints or pricing constraint ( arbitrage), data filing, data generation using proxy and pricing of derivatives.
 
The task of the contractor is to:
- refactor and design as needed with the quant team the proper architecture for the library 
- extend the current code to support the project / functionalities mentioned above first for FX and then Equity products ( linear and non linear)
- work with the quant research team to document the data cleansing automation service
 
These three tasks are expected to last approximately 6 months. They will be followed by adding more asset classes ( Rates or commodity), in which the successful candidate could expand his/her responsibilities.
 
This is a technical role, with no management and limited project management duties.
 
Experience/ education 
 
•          Senior quantitative developer, an architect with good C# knowledge.
•          MSc or PhD in computer science, quantitative finance or similar discipline
•          Minimum of 5 years industry experience (sell-side, buy-side or fintech).
 
Prior exposure to the following domains would be a plus (in order of importance):
1.      CCR (XVA/IMM) frameworks and/or Monte-Carlo engines
2.      Credit derivatives
3.      R and SQL languages

For EU Residents, the Candidate Privacy Policy can be found here.