Senior Quantitative Developer

You will be joining Vichara, a Financial Services firm known for specializing in enterprise systems and quantitative solutions for institutional capital markets participants. The company's platforms manage billions in fixed income assets, facilitating valuation, risk assessment, accounting, and data workflows for global investment firms. Headquartered in New Jersey, Vichara operates major development centers in Gurgaon, Toronto, and Bogot. For more information, you can visit www.vichara.com. In this role, you will have the opportunity to work on a project where a global asset manager is transitioning from a third-party analytics stack to a greenfield, open-source valuation and risk engine for fixed income portfolios, including sovereigns, corporates, MBS/ABS, and interest rate derivatives. Your responsibilities will involve collaborating with a team of quants to develop a new library in Python and C++ on top of QuantLib and Open Source Risk Engine (ORE). This will also include integrating the new system with the client's data and validating results against legacy outputs. As a qualified candidate, you are expected to: - Design modular pricing, curve-building, cashflow, and risk components using QuantLib / ORE and create Python bindings for desk-level analytics. - Implement and calibrate term structure, credit spread, and volatility models in high-performance C++ with unit-tested Python wrappers. - Develop loaders to ingest existing Numerix trade data and create regression tests to match PV, DV01, CS01, convexity, and Greeks within agreed tolerances. - Optimize critical routines using multithreading and caching techniques. - Integrate market data and set up infrastructure using Azure Kubernetes. The ideal candidate should possess: - A Masters or PhD in Quantitative Finance, Financial Engineering, or a related field. - At least 5 years of experience in building pricing or risk libraries for rates or credit products, with prior experience in Numerix, FinCAD, or in-house libraries being a plus. - Proficiency in expert C++17/20 for high performance and/or strong Python skills. - Hands-on experience with QuantLib (preferably with upstream contributions) and a working knowledge of ORE architecture, including skills in curve construction, bootstrapping, Monte Carlo simulations, finite-difference PDEs, and XVA concepts. - Familiarity with Azure CI pipelines, Docker/Kubernetes, and Git-centric workflows. The compensation for this position ranges from 40 to 50 lakhs per annum, along with benefits such as extended health care, dental care, and life insurance.,