STAGE 3A - Building a deterministic valuation module for financial derivatives using Macs service HF

Job ID:  39543
Location:  PARIS (FRA)

 

Murex is a global fintech leader in trading, risk management, and processing solutions for capital markets. Operating from our 19 offices, 2,500 Murexians from over 60 different nationalities ensure the development, implementation, and support of the MX.3 platform which is used by banks, asset managers, corporations and utilities, across the world.

Join Murex and work on the challenges of an industry at the forefront of innovation and thrive in a people-centric environment.
You’ll be part of one global team where you can learn fast and stay true to yourself.

 

 

Team :

 

Macs-Service is the development division in charge of Murex Analytics usage inside MX platform and via Macs RESTful web Service. We cover the full spectrum of asset classes (interest rates, foreign exchange, equities, commodities, inflation, security finance, credit). 

We manage the entire trade evaluation and risk management workflows using Macs models, as well as exotic trades lifecycle in MX platform. Risk management workflows include NPV and greeks computation, XVA evaluation in MX, XVA and MVA evaluation on the cloud, etc...

On the technical side, we are using both C++ and Python languages to develop our modules. Unit and integration testing is part of our development practices, as well as agility, continuous integration and dynamically built documentation. We use a variety of other tools like Jupyter notebooks and AWS for Macs-service usage and deployment. 

 

Missions :

 

The internship will take place in three phases:

 

Initially, the candidate will have to learn how to use Macs service in order to evaluate derivative products of different kinds (rates, fx, equites, etc.). To this end, the candidate will have access to Macs service documentation and will build Jupyter Notebooks based on Python language in order to call the service to evaluate these products.

 

After becoming familiar with the use of Macs service and manually validating evaluation results on a few examples, the candidate will study existing test modules to validate the evaluation of derivatives. He will then familiarize himself with the team's C++ modules and existing testing framework based on Google Test.

 

The candidate will finally extend the testing framework with a new intrinsic evaluation module using Macs service. He will have to build the service input data representing the definition of the products and the deterministic market parameters in a JSON format. Macs evaluation service being written in Python, the candidate will have to use this language, in addition to C++.

 

Profil :

 

3rd year student in Computer Science / Financial engineering, with:

 

  • Good knowledge of C++
  • At least basic knowledge of Python
  • Interest in financial markets
  • Interest in software engineering, continuous integration, devops, etc...
  • Mathematical background would be appreciated
  • French and english speaking
  • Ability to work in an agile and highly collaborative context