Quant C++ Analytics Pricing Libraries Developer - Investment Bank

Quant C++ developer with the ability to work on Pricing Libraries is required with strong IT Development experience in C++on Windows. Must have a quant background with C++. Desirable extra skills are C# and Python. As a Quantitative C++ Developer, you will be part of a dedicated IT team working in close collaboration with the research group. The 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.

The 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. The analytics library 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.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.

Role:

Our client is in the middle of an ambitious re-engineering project, The Quantitative research team are tasked to streamline and harmonise 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. This is a long term project.

 

This is a contract role paying £500- £750 per day.  If you would like to apply then please quote reference JSADL02698 and send your cv to This email address is being protected from spambots. You need JavaScript enabled to view it. 

Adlam Consulting operates as an Employment Agency & an Employment Business 

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