C++ Quant Developer Investment Banking
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C++ Quant Developer Investment Banking
Quantitative C++ Developer required as part of a dedicated IT team working in very close collaboration with the Flow Research Group.
Skills and Qualifications
Degrees (MSc) - Quantitative (any) IT Development - C++
IT Development - C# IT Development - Python IT Development - XML
IT Development - STL/Boost
IT Development - Microsoft .NET IT Development - Windows 10 IT Infrastructure - Excel Products/Exchanges Fixed Income Derivatives
Products/Exchanges Bonds, Repos, Futures
Our role primarily involves working on the design and implementation of various aspects of pricing and risk analytics for flow rates products, as a standalone library, for use in services and as a part of a wider valuation and risk in-house system for pricing and risk of vanilla interest rate derivatives. It has historically been an Excel add-in written in C++ which runs locally on trader workstations in various packaged formats. In addition the analytics SDK also forms the basis for a number of in-house risk systems to pre-calculate risk vectors, both feeding other downstream systems and for retrieval by spreadsheet. Some of these also include a process to automatically update the risk with all new trades so that the pre-calculated sets of risk are kept up-to-date using the same market data.
The products covered by the analytics include:
? FRAs
? Swaps (include CMS, DRS, inflation, bond index and total return swaps)
? Caps/Floors (including digital and knock in/out deals)
? Swaptions
? FX spot/forward (but not options)
? Bonds & Repos
? Futures & Listed Options (including bond, index and short/IR contracts)
As part of the digital transformation of the investment back, Quantitative Research are tasked to streamline and harmonize the pricing, risk and P&L chain. This is a long term project
Adlam Consulting operates as an Employment Agency & an Employment Business Applicants must be eligible to work in the specified location