C++ Quantitative Pricing and Risk Developer - C#.net Python - Fixed Income Derivatives - Investment Bank

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C++ Quantitative Pricing and Risk Developer - C#.net Python - Fixed Income Derivatives - Investment Bank

A Solid C++ developer with the ability to work on quantitative code is required with strong IT Development experience in C++, C# Python, XML, STL/Boost, Microsoft .net Windows 7and Excel. Products/Exchanges: Fixed Income Derivatives, Bond, Repos, Futures. Good analytical skills are a must, as is a proactive approach to solving complex problems during this exciting period of transformation across our area. A clear advantage would be any previous exposure to software design and development within a large-scale project, especially for distributed computation systems. Previous experience with Agile would also be considered valuable. The candidate is expected to quickly assimilate a sizeable library of code in order to be able to enhance both codebase and architecture effectively. This includes the integration of new features besides assisting with general maintenance and bug fixing. The role also involves some investigative support into production issues, and responding to queries about the system usage from desk side business support and other application development teams.

Role:

As a Quantitative C++ Developer, you will be part of a dedicated IT team working in close collaboration with the research group. Our role primarily involves working on the design and implementation of various aspects of pricing and risk analytics for flow rates products, as a standalone library, for use in services and as a part of a wider valuation and risk system.

Th in-house analytics product for pricing and risk of vanilla interest rate derivatives, has historically been an Excel add-in written in C++ which runs locally on trader workstations in various packaged formats. In addition the analytics SDK also forms the basis for a number of in-house risk systems to pre-calculate risk vectors, both feeding other downstream systems and for retrieval by spreadsheet. Some of these also include a process to automatically update the risk with all new trades so that the pre-calculated sets of risk are kept up-to-date using the same market data.

The products covered by the in house analytics include:

                                         FRAs

                                         Swaps (include CMS, DRS, inflation, bond index and total return swaps)

                                         Caps/Floors (including digital and knock in/out deals)

                                         Swaptions

                                         FX spot/forward (but not options)

                                         Bonds & Repos

                                         Futures & Listed Options (including bond, index and short/IR contracts)

The Investment bank is in the middle of an ambitious re-engineering project, The Quantitative research team are tasked to streamline and harmonize the pricing, risk and P&L chain which is also impacting the way the in-house product will be developed, tested and used throughout the bank.

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