Duties: Coordinate with front office, quantitative research, and middle office users to gather requirements for needed system enhancements. Refine initial system requirements into deliverable specifications. Document, develop, test, and deliver specifications using agile programming approach in order to deliver software on time and within budget. Investigate, substantiate, and troubleshoot pricing calculations and portfolio analyses for accuracy. Provide desk-facing support and technical solutions to business problems encountered by trading desks. Follow proper documentation for SOX-regulated applications, requirements, and development processes (SDLC). Participate in code and design review and give approval before code can be committed. Prepare explanations of risk management projections across multiple financial products in accordance with NY trading desks' requirements. Work on constantly changing project lists, report periodic statuses to trading desks and stakeholders, and coordinate activities with partner technology and business groups.
Minimum education and experience required: This position requires a Bachelor's degree in Computer Science, Engineering, Mathematics, or related field of study plus two (2) years of experience in the job offered or two (2) years of experience as a Computer Systems Analyst, Software Developer, or related occupation.
Skills Required: This position requires two (2) years of experience with the following: derivatives trading businesses and object oriented (OO) development and programming, specifically Cincom Smalltalk programming language and GemStone/S 64 databases; object databases; PnL and risk management for interest rate derivatives; FpML for interest rate derivatives; linear algebra and numerical analysis methods such as taylor series expansion to estimate and attribute risk and PnL delivery as applicable to pricing fixed income derivatives; following defined development processes with specific documentation requirements such as SOX; and designing software solutions to support trading desk's needs.
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