Quant C++ Analytics Pricing Developer - Investment Bank


Premium Job From Adlam Consulting

Recruiter

Adlam Consulting

Listed on

1st May 2018

Location

London

Salary/Rate

Upto £750

Salary Notes

per day

Type

Contract

Start Date

ASAP

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Quant C++ Analytics Pricing Developer - Investment Bank

Quant with some C++ development skills - the ability to work on Pricing Libraries - is required. Must have a strong quant background with C++. Desirable extra skills are C# and Python.

As a Quantitative C++ Developer, you will be working on the design and implementation 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 system, working in close collaboration with the research group, This role is more about the quant knowledge than the development skills

The analytics library forms the basis for a number of in-house risk systems to pre-calculate risk vectors, some 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.

Products/Exchanges:

Fixed Income Derivatives, Bond, Repos, Futures. Good analytical skills are a must, as is a proactive approach to solving complex problems during this exciting period of transformation across our area.

Our client is in the middle of an ambitious re-engineering project, The Quantitative research team are tasked to streamline and harmonise the pricing, risk and P&L chain which is also impacting the way the in-house product will be developed, tested and used throughout the bank.

This is a 3 year plus project.

Minimum 4 years' experience required - will look at people who can grow with the project. Up to 3 months' notice period is acceptable.

Adlam Consulting operates as an Employment Agency & an Employment Business

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