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C++ Quantitative Developer (Quant)

TS Imagine

TS Imagine

Software Engineering
Montreal, QC, Canada
Posted on Tuesday, September 19, 2023

About the job

TS Imagine, a global leader in trading and risk management SaaS-based software, is seeking a C++ Quantitative Developer to join our growing Models and Quantitative Data team in our Montreal office!

As a C++ Quantitative Developer, you will discover, design, develop and test models to value positions and construct quantitative data (curves, volatility cubes, correlation matrices, etc.) or calculate market risk (VaR, greeks, etc.) in real-time across all asset classes including Crypto. Our risk models are used by some of the largest, most prestigious financial institutions around the world, ranging from global investment banks to multi-strategy hedge funds.

Who will love this job

  • A scientist – you are comfortable with numerical methods, linear algebra, partial differential equations, probability theory and statistics
  • An engineer – who has a passion for computer science, system performance, clean code and architecture with an owner mentality
  • A doer – who is enthusiastic about new challenges, accepts a broad spectrum of responsibilities, and works hard to produce a high-quality result
  • A learner – who is not afraid of being outside the comfort zone and is ready to dive into some of the most complicated problems in finance
  • A teacher – who shares approaches and ideas and can bring his or her own expertise and point of view to the company
  • An excellent teammate – who has a combination of technical and personal qualities to thrive in a cutting-edge software development environment

What you’ll do

  • Design and development of models for pricing positions and calculating market risk metrices for all asset classes (equity, credit, FX, fixed income, commodities, crypto, and their derivatives)
  • Write modern, clean, reusable, well tested source code in C++ that scales and performs well across large distributed systems (based on our high-performance grid computing platform)
  • Leverage Python, SQL and Snowflake to analyze the model inputs or construct model inputs
  • Create methodology documentation to support model validation when needed

What you should have

  • M.S. or PhD in mathematics, physical sciences, or engineering preferred
  • Excellent quantitative and programming skills with 3-5 years’ experience in large-scale C++ development and program design as well as data intensive products
  • Experience with other programming languages (Python, Java) is an advantage
  • Understanding of financial derivatives, market conventions and their implementation is a must
  • Experience working on yield curves (OIS, Libor, Cross-currency, etc.), inflation curve, volatility surfaces, interest rate volatility cubes (eventually live/intraday) as well as the data to build them is highly desirable
  • Experience in developing risk management tools such as VaR, Monte Carlo, scenario analysis and P&L is preferred

Why TS Imagine / Benefits

  • Currently hybrid home-office (at least 3-4 days in the office)
  • 25 Vacation days and 3 Personal days
  • Annual bonus and salary review
  • Training budget $1,500
  • RRSP with 3% company matching
  • Health insurance
  • Subvention for public transportation (Opus & Cie)

About TS Imagine

Created out of the combination of two best-in-class SaaS platforms, TradingScreen and Imagine Software, TS Imagine delivers integrated trading, portfolio and real-time risk solutions for capital markets. The platform is uniquely positioned to streamline complex and time-consuming workflows across front, middle, and back office functions. TS Imagine has close to 400 employees in 10 offices worldwide, serving approximately 500 global buy-side and sell-side institutions across North and South America, EMEA, and Asia Pacific including hedge funds, traditional asset managers, pension funds, mutual funds, and financial institutions.

We challenge our employees every day to think creatively and innovate across silos and across platforms.

Join us!