Front Office Quant Dev, Rates ePricing

2 months ago


London, UK, United Kingdom Millar Associates Full time

Total to £250K + Benefits

Leading Global Investment Bank

Real-time Rates, e-Pricing, Curves, Forwards, C#, Java or C++


Our client, a leading Investment Bank is building a new, real-time pricing & risk system and now seeks a talented Quant Dev for its Rates Curves trading group in LONDON. You’ll sit with both Traders and the Quant team to build and maintain the Desk Tools for Rates Curves which support FICC trading for the bank.


You’ll need a thorough understanding of e-Rates Trading and the ability to work in a fast-moving, dynamic trading environment with an analytical approach to programming to deliver best tools to keep this leading trading group at the top of the market.


KEY RESPONSIBILITIES:

  • Deliver tactical Sales and Trading tools to mitigate risk, and to facilitate the transition to the strategic real-time pricing & risk system
  • Collaborate on Price engine design, including all analytics (price discovery, market and client profiling).
  • Build relationships with Front Office users, Quant Researchers, and other teams across eRates Trading & technology
  • Define reporting tools for quantifying eTrading performance (revenue, risk and client service)
  • Maintain & enhance RAD toolset
  • Continuously develop customer service & performance metrics, and determine appropriate actions


SKILLS & EXPERIENCE:

  • Strong software development skills in languages such as C#, Java or C++
  • Knowledge of flow Rates (G10, EM), OIS, Swap pricing, Bond pricing, FWDs/Cross currency
  • Extensive working knowledge of Interest Rates pricing.
  • Experience with large scale real-time distributed systems and eTrading
  • Strong Excel skills – able to create add-ins/automation using languages other than VBA
  • Great communication skills


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