FO Fixed Income Quant Developer (VP), London FO Fixed Income Quant Developer (VP), London …

Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 02 Dec 20
Total Package to £175k + Benefits (+ 32 days holidays)
Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 02 Dec 20
Total Package to £175k + Benefits (+ 32 days holidays)
Posted by:
Craig Millar • Recruiter
Posted by:
Craig Millar
Recruiter
The Debt Strats team at this leading Investment Bank is responsible for the delivery of Risk, P&L, Market data, Pricing applications for Rates & Credit Derivatives trading globally. The team is responsible for delivering innovative solutions to business requirements, ensuring that these solutions are accurate, performant, robust, reliable and scalable. This is a key role to lead the delivery of Intraday P&L, Risk and Market Data for the Fixed Income Derivatives trading business and will be well rewarded!

C++, Options Pricing, Interest Rate/Credit Derivatives, Bonds, Risk & PnL

KEY RESPONSIBILITIES:

  • Hands-on implementation of server-side risk and P&L functionality in C++ & Python
  • Deliver Risk, P&L, market data and calibration functionality
  • Work very closely with trading & quants & risk to understand requirements
  • Performing analysis of existing platform functionality to determine how best to deliver platform extensions
  • Providing technical leadership of distributed development team

KEY SKILLS REQUIRED:

  • Investment Banking Front-Office application delivery experience
  • Expert knowledge of C++ and Python, particularly server-side development, including multi-threading
  • Strong understanding of Interest Rate/Credit/FX derivatives products and trading
  • Knowledge of front-office Risk & P&L calculations
  • Able to identify architectural opportunities and employ best practices
  • Apply appropriate Design Patterns and Multi-tier framework implementation
  • Proficient in Oracle and UNIX from a developers' perspective
  • Experience delivering in an agile, fast-paced trading technology environment
  • Masters in a quantitative field (Maths, Statistics, Physics, Engineering, Finance)
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