A leading banking group is currently seeking a Quantitative Analyst to work within their Front Office Solutions team (FOS). This team supports the trading, sales and risk departments across all asset classes in London, New York, Hong Kong, and Singapore.
This team is based on the London tradefloor charged with the development of models, pricing tools and system integration of all exotic models used in the firm, on all asset classes. Their products support the trading and risk functions of several different desks via inhouse developed applications run on traders' desktops, compute grids and external cloud compute fabrics.
Main purpose of the role:
Undertake a project to expand its derivative platform to cover vanilla interest rate flow products. This role is a resource towards this project and will be situated within the flow interest rate quants team, and will comprise both:
- Configuration, implementation, testing of the derivative platform
- Supporting the vanilla interest rate desk with regards to inception pricing, risk management and curve construction queries
Skills and experience:
- Experience in production Front Office valuation tool support
- Knowledge of curve construction.
- Knowledge of pricing of vanilla interest rate products (swap, deposit future, bond, bond future, Swaption, deposit future option, bond option).
- Experience with Excel/VBA.
- Good development skills (C# or C++)
- Experience working in managed code environment.