FX/Credit Risk Quantitative Developer FX/Credit Risk Quantitative Developer …

HSBC Bank plc
in London, England, United Kingdom
Contract, Full time
Be the first to apply
GBP800 - GBP850 per day
HSBC Bank plc
in London, England, United Kingdom
Contract, Full time
Be the first to apply
GBP800 - GBP850 per day
.

We are looking for experienced Quant Developer with an FX, Interest rate and Pricing background. Must have C++ programming experience.

Duties include

  • Integrate PTSs (MXG 3.1 & Apollo) with Quant Pricing infrastructure to utilise live pricing and scenario capabilities via Flex API for all IR, MMK and FX & Metal Options products
  • Integrate PTSs (MXG 3.1 & Apollo) with Market Data, and Discounting multi curves between PTS Market Data API and Quant Pricing Infrastructure
  • Integrate the IBOR curves (Libor replacement) into the PTS to enable multi curve pricing
  • Integration of OIS discounting and CSA into the FXO Architecture
  • Development of the MXG Flex interface to support both MXG 2.11 and 3.1
  • Optimization of Risk and Valuation analytics
  • To provide rapid fixes to any issues identified in the Flex layer

Must have

  • Murex 3.1 knowledge of multi curves
  • FXO and Commodity Derivative experience essential
  • MXG Flex experience essential
  • Knowledge of Jekins or another build deployment tools preferable
  • MxML and FpML knowledge required
  • Knowledge of the standard pricing models used for pricing and risk in the investment banking industry
  • C++ experience (preferably using Visual Studio 2017)
  • Excellent communication skills

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