C++ Quant Developer Investment Banking


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Recruiter

Adlam Consulting

Listed on

26th April 2022

Location

London

Salary/Rate

£650 - £800

Salary Notes

Day Rate

Type

Contract

Start Date

asap

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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

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