Overview
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:
Responsibilities
- 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
- 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
Role context
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.
Qualifications and Experience
- 3-7 years 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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