Quantitative Developer

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 inter...