Lead Quantitative Software Engineer / Front-Office Quant Developer, VP
About The Position
State Street is looking to hire experienced front office quant developers to work closely with business and technology teams to build state-of-the-art valuation models. The role requires experience in working with diverse technologies such as C++, Java, Python, as well as a wide range of financial products. The primary focus areas for this role are Fixed Income, Rates Derivatives, and Algorithmic Trading. The primary languages used will be Modern C++ (C++20/23) and Java (17+ / Core & Functional). Ancillary technologies include Python, time series databases such as kdb+/q, SQL, Linux, Boost, QuantLib, and Nvidia CUDA and/or OpenCL. This role is important because the individual will be working with the Global Markets IT team focused on building out an XVA application. XVA calculations are critical for assessing counterparty-specific risk and charges when trading with various counterparties. State Street plans to develop an in-house solution from the ground up.
Requirements
- Multithreaded C++ (Templates, STL, Boost)
- Core Java (Concurrency, Garbage Collection tuning)
- Python (NumPy/Pandas)
- Interest Rate Swaps (IRS), Basis Swaps, Swaptions, Exotic Options, Forward Rate Agreements (FRAs), and Inflation-linked products.
- Stochastic Calculus, Monte Carlo Simulations, Finite Difference Methods, Yield Curve Bootstrapping, Libor Market Model (LMM), and Hull-White model calibration.
- Linux environment, kdb+/q time-series database, distributed grid computing, Git, Jira, CI/CD pipelines.
- Hands on knowledge of CUDA programming is essential.
Nice To Haves
- Master of Science in Financial Engineering (MSFE)
- OR Bachelor of Science in Computer Science & Mathematics
Responsibilities
- Work with the business quant team to implement various features and functionality related to xva calculations.
- Develop test cases and test harness to validate the implementation.
- Perform back testing of algorithms.
- Work with infrastructure teams to setup the application compute environment.
- Deploy and maintain the runtime infrastructure and respond to any issues and user queries.
Benefits
- retirement savings plan (401K) with company match
- insurance coverage including basic life, medical, dental, vision, long-term disability, and other optional additional coverages
- paid-time off including vacation, sick leave, short term disability, and family care responsibilities
- access to our Employee Assistance Program
- incentive compensation including eligibility for annual performance-based awards
- eligibility for certain tax advantaged savings plans
- inclusive development opportunities
- flexible work-life support
- paid volunteer days
- vibrant employee networks
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What This Job Offers
Job Type
Full-time
Career Level
Senior
