Front Office Vanilla Interest Rate Quant

TN United Kingdom; London; Hybrid; Full time

Job summary

An established industry player is seeking a VP Quant Analyst to join their Front Office Quant team in London. This role involves developing and enhancing quantitative models and tools, providing critical support to traders, and contributing to the pricing library. Ideal candidates will have a strong background in IR derivatives, exceptional skills in C# or C++, and a PhD or Master's degree in a scientific discipline. This is an exciting opportunity to influence quant solutions within a leading global investment bank while enjoying a hybrid working model.

Qualifications

• 4+ years in front office or model validation.
• Strong quant development skills in C# or C++.
• Good understanding of IR derivatives.

Responsibilities

• Develop in-house quant solutions for pricing and risk.
• Assist in extending pricing library for Model Risk frameworks.
• Analyze desk sensitivities and improve internal market data model.

Skills

C#

C++

IR derivatives

Quant development

Model validation

Risk analysis

Education

PhD in a Scientific Discipline

Masters in a Scientific Discipline

Tools

Monte Carlo

PDE

Numerical integration

Job description

Social network you want to login/join with:

col-narrow-left

Client:

Location:

London, United Kingdom

Job Category:

Other

-

EU work permit required:

Yes

col-narrow-right

Job Reference:

aeae82f843cb

Job Views:

17

Posted:

29.04.2025

Expiry Date:

13.06.2025

col-wide

Job Description:

Front Office Vanilla Interest Rate Quant (VP), London

London Ref: FOVIR-0107 Total to £240 + Benefits Leading Global Investment Bank Yield curves, Xccy swaps, Skew, CDS, C# or C++

Our client, a leading Investment Bank, seeks to hire a VP Quant Analyst to join its expanding Front Office Quant team in London. With a solid background as a Fixed Income Quant (Front Office or Modal Val), you will provide modelling & pricing (e.g. Swaps, Curves, etc.), building tools & applications and developing the quant model library in C++ & C#. You will also assist Traders with Quant solutions and also provide quantitative solutions to the wider firm as per business needs.

KEY RESPONSIBILITES:

Contribute to the development of in-house quant solution, with focus on pricing, risk, model calibration and market data

Assist in the extension of the pricing library to comply with the Model Risk frameworks.

Improve tools used by traders.

Analyze desk sensitivities (risks) and attribution of PnL, implementing changes in libraries and tools.

Improve the internal market data model for certain data types, for example CDS spreads.

Contribute to the effort to remove unused features from internal libraries and tools.

Contribute to documentation and validation of model

ESSENTIALS SKILL, EXPERIENCE

4 yrs+ in front office or model validation.

Good understanding of IR derivatives (swap with multi-urve, swaptions with skew), vanilla derivatives in one other asset class

Strong quant development skills in C# or C++.

Contributed to production code used for valuation or risk engine for PnL & sensitivities

IR curve bootstrapping expertise: e.g. choice of interpolation, choice of instruments, curve hierarchy, etc.

Good understanding of risk profiles of Xccy swaps, vanilla options.

Experience in changing valuation Monte Carlo, PDE, tree or numerical integration

PhD or Masters in a Scientific Discipline

(Hybrid working - 3 days in Office)