Java and or C++ w/Derivative Products Credit, Equity, or Interes

* Design and implement a Risk Calculation Engine for credit derivative desk.
* Implement Option-Adjust-Spread model for fixed and floating rate bonds with embedded options
* Lead development, release and integration of credit derivative and bond analytics libraries with the trading systems
* Work with traders and risk managers on the application of the anlytics developed in our team to satisfy their business needs - curve constructions, derivative valuations, and risk calculations etc.
* Work with credit derivative desk on the development and improvement of pricing models for credit default swap, default basket, default swaption, risky swap and walk-away swap etc.
* Develop and implement bond valuation suite that provides bond analytics such as bond margin, forward price, repo pricing and total return swap pricing etc.
* Work with prime services risk team on the development of complex derivatives instrument pricing module for prime services Value-at-risk cross-margin application.
REQUIREMENTS
Derivative Products Credit, Equity, or Interest Rate Java and or C++