Quantitative Developer

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Senior Quantitative Developer - Contract - 12 Months - London

We're currently working with a financial services consultancy who are looking for 2x Quantitative Developers to join them an 12 month contract. The ideal candidate will have extensive experience in Fixed Income, as well as understanding all aspects of options pricing.Responsibilities:* Support flow quantitative models, analytics libraries and tools.

* Implementing the XVA, funding, Liquidity, Capital, Margining and other FO regulatory models and libraries.

* Support of Flow trading desks on pricing and hedging of flow products

* Development of models used for pricing and risk management, including PL Explain and capital

* Supporting the client's Sales and the desk strategists by providing them with quantitative toolsSkills and experience:

* Flow Credit knowledge, e.g., CDS, Bonds, CLNs, repack Swaps & similar, CMS spread

* Modelling knowledge, e.g. HW Model + local FX vol, smile, skew

* Bond-CDS basis in risks decomposition

* Experience in a quant team and coding in C++/C#/python, modelling & systems

* Data manipulation and database experience (SQL preferred)

* Strong communication skills to liaise with Quants, IT and Managers

If you're looking for your next contract in this space please apply asap and interviews will be commencing this week, with a week on boarding process after offer stage.