Sr. Quant Developer

Quantifi; Sydney; Hybrid; AUD 140,000 - 230,000; Full time

Job summary

Quantifi is seeking a Quantitative Developer with strong fixed income and interest-rate derivatives knowledge to join our quantitative development team in Sydney.

You will work on pricing, risk and analytics for the platform, collaborating with Fixed Income and Rates teams, translating models into robust production code in C#/.NET. This is a Sydney-based hybrid role with global collaboration.

Qualifications

• Strong knowledge of fixed income and interest-rate products.
• Understanding of derivative pricing, valuation and risk.
• Ability to translate quantitative models into production code.
• Experience with pricing or risk analytics in a production library.
• Collaborate with researchers, developers, and front-office users.

Responsibilities

• Develop pricing, risk and analytics functionality for Quantifi’s platform.
• Translate quantitative models into robust production code in C#/.NET.
• Collaborate with Fixed Income and Rates teams across global offices.
• Investigate pricing or risk discrepancies across models and data.

Skills

Fixed income knowledge

Interest-rate derivatives

Derivative pricing

Risk management

Quantitative modeling

C# / .NET

OO programming

Tools

C#

C++

Java

Python

Job description

We are looking for a Quantitative Developer with strong fixed income and interest-rate derivatives knowledge to join Quantifi’s quantitative development team in Sydney.

This role will work closely with our Fixed Income and Rates teams, developing and enhancing pricing, risk and analytics functionality within Quantifi’s platform.

The emphasis of the role is on quantitative finance and fixed income expertise. You should be comfortable understanding pricing models, market conventions and risk, and be able to translate that knowledge into working software. You do not need to be a specialist software engineer, but you will need sufficient programming ability to implement and maintain quantitative functionality in our production library, which is primarily written in C#/.NET.

What we're looking for

• Strong knowledge of fixed income and interest-rate products
• Good understanding of derivative pricing, valuation and risk
• Experience with products such as bonds, swaps, FRAs, futures, options, swaptions, caps/floors or other rates derivatives
• Understanding of yield curves, discounting, forward curves, sensitivities and market conventions
• Ability to understand quantitative models and translate them into robust implementations
• Programming experience in C#, C++, Java, Python or another object-oriented language
• Ability to investigate pricing or risk discrepancies and understand whether an issue comes from the model, market data, conventions or implementation
• Strong numerical and analytical skills
• Ability to work closely with quantitative researchers, developers, product specialists and front-office users

Programming

Our quantitative library is primarily written in C#/.NET, so you will be expected to develop functionality in C#.

Previous C# experience is desirable but not essential. We are more interested in candidates with strong fixed-income knowledge, quantitative ability and enough programming experience to become productive in our codebase.

This is not a pure software-engineering role; programming is the means by which you will implement quantitative pricing and risk solutions.

Experience

Typically 2–8 years of experience in one or more of:

• Rates or fixed-income trading technology
• Pricing and risk systems
• Quantitative libraries or analytics platforms

Experience working directly with a rates, fixed-income or derivatives desk would be particularly valuable.

Nice to have

• C#/.NET
• Experience implementing pricing models or risk analytics
• Curve construction and calibration
• Interest-rate volatility modelling
• Credit or fixed-income analytics
• Python
• Experience with front-office or enterprise risk systems

The role

You’ll work on Quantifi’s pricing, risk and analytics platform, used by financial institutions globally. You’ll be involved in turning real-world fixed-income and rates requirements into quantitative functionality that can be used reliably in production.

The role is Sydney-based and hybrid, working with colleagues across Sydney, London and New York.