Senior Quantitative Developer
Senior Quantitative Developer
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Job Description
The Organization:
Vichara specializes in enterprise systems and quantitative solutions for institutional capitalmarkets participants. Its platforms manage billions in fixedincome assets powering valuation risk accounting and data workflows for global investment firms. Headquartered in New Jersey Vichara operates major development centres in Gurgaon Toronto and Bogot. Learn more at .
The Opportunity
A global assetmanager is retiring its third party analytics stack and has engaged Vichara to build a greenfield opensource valuation and risk engine for its fixedincome portfoliosincluding sovereigns corporates MBS/ABS and interestrate derivatives. You will join a team of quants to deliver the new library in Python and C on top of QuantLib and OpenSource Risk Engine (ORE) integrate it with the clients data and validate results against legacy outputs.
Qualifications :
Job Responsibilities:
- Design modular pricing curvebuilding cashflow and risk components leveraging QuantLib / ORE; expose Python bindings for desklevel analytics.
- Implement and calibrate termstructure creditspread and volatility models (e.g. HullWhite SABR HJM) in highperformance C with unittested Python wrappers.
- Build loaders to ingest existing Numerix trade data and develop regression tests to match PV DV01 CS01 convexity and Greeks within agreed tolerances.
- Optimise critical routines using multithreading and caching
- Integrate market data.
- Set up infra using Azure Kubernetes
Candidate Profile:
- Masters / PhD in Quantitative Finance Financial Engineering or related field.
- 5 years building pricing or risk libraries for rates or credit products; prior Numerix FinCAD or inhouse library experience a plus.
- Expert C17/20 for highperformance AND/ OR strong Python
- Handson QuantLib (preferably with upstream contributions) and working knowledge of ORE architecture. Fluency in curve construction bootstrapping Monte Carlo finitedifference PDEs and XVA concepts.
- Familiarity with Azure CI pipelines Docker/Kubernetes and Git-centric workflows.
Additional Information :
Compensation - 40- 50 lakhs pa
Benefits:
- Extended health care
- Dental care
- Life insurance
Remote Work :
No
Employment Type :
Full-time
Employment Type
Full-time
