Resume

Quasar Chunawala

I am a quantitative developer with skills in advanced C++. I am highly driven, with an ability to quickly learn new tech-stacks and a focus on timely turn-around.

For detailed insights into my diverse projects and achievements, please explore the items below.

Contact: quasar.chunawala@gmail.com · LinkedIn

Experience

Work Experience

Quantitative Developer, CME Group — Mar 2026–Present, London, UK
  • Realtime CVol. Implemented realtime CVol (VIX-like) index pricing using OTM option quotes data, based on variance swaps pricing methodology.
  • Proposed a new enum framework that uses SFINAE and TMP to generate enumToString and stringToEnum factory methods for all enum classes. Also proposed using optimal storage types such as uint8_t for enum values, since most enums do not contain more than 256 values.
  • Removed unnecessary shared_ptr passing in the library where there is no change of ownership.
Quantitative Engineer, Goldman Sachs — Sep 2024–Feb 2026, London, UK
  • Gap Risk (MPoR): Extended the macro desk CVA engine to support Gap Risk (MPoR) by modeling a 10-day gap between collateral posting and closeout dates using AMC regression coefficients.
  • Implemented the impact of Initial Margin (IM), conservatively excluding counterparty-posted IM and modeling GS-posted, credit-risky portions as uncollateralized synthetic forwards.
  • MTA impacts to CVA: Modeled the impact of Minimum Transfer Amounts (MTA) on CVA by forking the residual exposure calculation and using a dense 5-day simulation grid to include actual collateral transfer amounts.
Quantitative Analyst, Credit Suisse — Apr 2019–Jun 2024, Wroclaw, Poland
  • Developed improvements to the C++/F# global quant library, focusing on bonds, asset swaps/ASW01 calculations, CDS, IndexCDS, and CDSwaptions.
  • Built an orchestrator framework in F#, together with pricer spreadsheets, which streamline the viewing of future cashflows, pricing of all legs, risks, and performing bookings involved in the issuance of bond-repacks for the structured credit desk, improving trading and execution efficiency.
  • Enhanced C++ bond analytics to use ObservationScheduleDCF for compounding rate calculations for bonds referencing ARR, e.g. USD SOFR.
  • Developed and enhanced the Buy-Sell signal report, which analyses historical RFQ volumes and enables the corporate bonds desk to take a view on whether there is more interest on the buy-side or sell-side for various bond buckets.

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Open-Source contributions

Programming is not just my profession, I’m deeply passionate about it. In my spare time, I actively contribute to open-source projects, aiming to advance the field and give back to the community.

Education

Bachelor of Engineering (Computer Science) — Vidyavardhini’s College of Engineering, University of Mumbai, 2004–2008
  • Relevant coursework: Computer Architecture, Operating Systems, Network Programming, Multivariate Calculus.

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Publications

Conference Talks
Projects

  • [Order-book matching engine] A matching engine that keeps track of buy-side and sell-side in constant time and supports market orders, limit orders, Fill-And-Kill, and Fill-Or-Kill orders.

  • [The Vanna-Volga method for FX implied volatility smile] Pythonic implementation of the Vanna-Volga method. Uses three market quotes to rebuild the whole implied volatility surface, in particular for far in-the-money and out-of-the-money strikes.

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