Linear Rates Quant Developer (IT)
We have a current opportunity for a Linear Rates Quant Developer on a permanent basis. The position will be based in London. For further information about this position please apply.
- lead the implementation of pricing and curve construction analytics in C++20. Developed market-making models in collaboration with traders. Played a central role in specifying and designing tooling and diagnostics for live solvers, RFQ pricing and risk. Partnered with the Head of FICC E-Trading Engineering on the architecture design for low-latency systems leveraging fast optimizers and algorithmic automatic differentiation (AAD).
- Develop and maintain yield curve modelling frameworks for pricing and risk management of linear interest rate products (swaps, bonds, futures) and cross-currency swaps.
- Manage one direct Junior Quant report, one dotted-line support staff, one quant dev and two developers. Engage in strategic discussions with senior management and business leaders to enhance international hiring, reduce operational risk, and streamline global support for the fixed income e-trading business. Successfully led desk projects in collaboration with North American teams.
- Initiate extensive revamps of existing Excel-based legacy front-office tools, driving their migration to modern web-based applications to enhance efficiency, scalability, and usability.
- Engaged with IT, local application support, and InfoSec teams to diagnose and optimize the latency and computational performance of clients analytics on traders desktops and servers.
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