Senior Developer Contractor
CurrentMigrate Citi Corp exotic financial derivative pricing model for MQA/EQA (Equity Quantitative Analytics) from QLMath enviromnet to QLX enviroment. The QLMath model is written in C# and the QLX model is in C++.Enhance SIMM (Standard Initial Margin Model) according to ISDA SIMM Methodology, version 2.0. Implement calculation audit trail and diff tools for.