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C++ Quant Engineer Macro

4 months ago


London, United Kingdom eFinancialCareers Full time

**C++ Quant Engineer (Macro)**

**Asset Management Firm - London, UK**

**Total Comp: £150k - £350k+**

**Responsibilities include**:

- Developing for interest rates trading
- Maintenance of existing financial modelling software systems
- Interacting with trading desks and other business partners
- Working with a broader global team to develop cutting edge, cross-asset analytics

**Skills/ Requirements**:

- PhD, MSc or BSc in Computer Science, Engineering or technology related field
- Advanced post graduate degree in financial or STEM related fields
- Strong C, C++ and Python expertise
- 3+ years experience building fixed income libraries in production systems
- Expertise in bond, inflation and G10 swaps analytics is vital
- Experience in migrating C library to C++ is highly valued

**Advantageous**:

- Familiarity in swap conventions and experience in library development for libor reform
- Experience in PnL attribution and portfolio stressing
- Data manipulation and database experience
- Experience with BPIPE and multi-threading