Own and evolve the production C++ pricing library that sits at the core of our macro business.
You will lead the architecture, design and long-term evolution of a large C++ analytics library that traders, researchers and risk users depend on. You will turn quantitative requirements into clean, fast, well-structured library components and keep the library stable as it grows. This is an on-site role in New York within a large Multi-Strat Hedge Fund.
What you'll do
- Lead the design, development and evolution of the production C++ pricing library used across the macro business.
- Deliver major new components that improve architecture, performance, consistency and extensibility.
- Design stable, well-documented public interfaces with careful attention to versioning, backward compatibility and deprecation.
- Improve performance through profiling, benchmarking, memory layout, concurrency and asynchronous execution.
- Implement quantitative models and analytics (pricing, curves, calibration, scenarios, risk) as robust library code, working from specifications provided by quantitative researchers.
- Provide technical judgment on library design, architecture and maintainability.
- Own releases, production support and the investigation of pricing and risk discrepancies.
- Mentor developers and partner with traders, risk users and technology teams.
What's required
- 7+ years of experience developing and supporting production quantitative analytics libraries in macro, trading, risk, pricing or related financial markets environments.
- Deep expertise in modern C++ (C++20 or later), including templates, generic programming, compile-time design, value semantics, ownership and lifetime management and maintainable patterns for large production systems.
- Experience designing high-performance, extensible C++ libraries and interfaces for long-lived production systems.
- Experience improving numerically or data-intensive systems through concurrency, asynchronous execution, memory layout, profiling and benchmarking.
- Proven ability to design stable interfaces with versioning, backward compatibility and deprecation in mind.
- High-level understanding of quantitative analytics concepts such as pricing, valuation, calibration, curve construction, scenarios, sensitivities and risk.
- Strong communication skills and the ability to collaborate with researchers, traders, risk users and technology partners.
- Commitment to the highest ethical standards.
Why this role
You will have real ownership over the architecture and direction of a library used every day across the business.