Endur BA/Developer Required Urgently

Hi,

hope you are well.

please find attached a requirement for one of our clients.

Start: ASAP
Duration 30 days, but then ongoing, remote work possible

Location: Prague

Scope

Endur Plain Vanilla Option instrument standardization - Plain Vanilla option valuation in Endur (MtM,PnL, Greeks and VaR)

- Volatility and price Endur index configuration in order to setup index structure for volatility feed. Strike, implied volatility and expiration date structure is required.
- Plain Vanilla Option deals are in Endur - review of deal parameters in order to use Endur deals for valuation
- Plain Vanilla Option Valuation setup (MtM, PnL, Greeks, VaR) in Endur - Endur standard simulation configuration for Plain Vanilla. We expect to have simulation results for Plain Vanila Options in Endur.

ACCEPTANCE:

Volatility and price Endur index configuration + final documentation

Endur deal parameters review + documentation

Plain Vanilla Option Valuation setup + final documentation

ASSUMPTIONS:

Deal entry is out of scope - deals are in production. If there is a need to correct deal parameters (according to correct valuation) it is clients responsibility to perform the correction in test environment and production.

Not credit, not risk checks are required.

Indexes of underlying commodities are in the system, if there is any requirement to modify indexes (except volatility and correlation setup), it is clients responsibility to perform the changes in test environment and production.

Any custom script modification is out of the scope.

FX risk is out of the scope

IF YOU ARE NOT AVAILABLE AT THE MOMENT, PLEASE FORWARD THIS JOB DESCRIPTION TO YOUR NETWORK OR WHOM IT MAY CONCERN.