Quantitative Developer

Fixed Income Currencies and Commodities (FICC) Quants (a division of Global Banking and Markets) are looking for a C++ developer specialising in Rates and Credit Derivatives.

The candidate will be expected to:

Assist the design and implementation of pricing, risk and P&L infrastructure surrounding the core pricing library

Assist the Quantitative Modellers to develop the core pricing library

Develop the Quantiative tooling required to support the platform

The role will cover the following agendas:

Daily support for quant library pricing and risk issues

Design, development and integration of intraday pricing, risk and P&L calculations

Design, development and integration of end-of-day risk and P&L calculations allowing the retirement of the legacy vendor platform

Design, development and integration of market data pipelines

The candidate should expect to have day-to-day interactions with the trading desk, other quants, the Risk and Finance departments, and technology teams. While the role is London based, the team and clients are located globally with presence in London, Paris, Hong Kong and Bangalore. Occasional travel may be required.

Essential Certifications, Qualifications and Experience

Experience working as a Quantitative Developer pricing and risking derivatives in quantitative finance, IT development, or a trading environment

A degree in mathematical finance, science or maths from a top tier university

Knowledge of the standard pricing models used in the investment banking industry

Five or more years C++ experience (preferably using Visual Studio 2022)

Knowledge of instrument pricing, sensitivity calculations, P&L prediction, P&L explain, VaR, ES and other risk measures.

Knowledge of Windows and UNIX/LINUX, understanding of and experience with version control systems (GIT) and distributed development process.

Knowledge of the main instruments used in FX, Fixed Income, Credit, or Equities

Test-drive development and automated CI/CD pipelines

Knowledge of distributed computing and serialisation techniques

Knowledge of at least one of the following scripting languages: Python, Perl, Shell Script, C#, Java, VBA.

Experience in cross-platform C++ development

Good knowledge of Excel.

Experience of data analysis

Ability to work in fast-paced environment with proven ability to handle multiple outputs at one time

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