Lead Quantitative Software Engineer / Front-Office Quant Developer, VP

State Street•Boston, MA

1d•Onsite

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 is on Fixed Income, Rates Derivatives, and Algorithmic Trading. The role is within the Global Markets IT team, focused on building an XVA application. XVA calculations are critical for assessing counterparty-specific risk and charges while trading with various counterparties. State Street plans to develop an in-house solution from the ground up.

Requirements

Modern C++ (C++20/23), Java (17+ / Core & Functional)
Python, time series databases such as kdb+/q, SQL, Linux, Boost, QuantLib, Nvidia CUDA and / or OpenCL
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
Master of Science in Financial Engineering (MSFE) OR Bachelor of Science in Computer Science & Mathematics
At least 15 years of experience
Hands on knowledge of CUDA programming is essential

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 set up 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