Quantitative Developer

Experis; Greater London; On-site; GBP 90,000 - 130,000; Full time

Job summary

Experis is seeking a senior C++ developer for the Fixed Income Currencies and Commodities Quants division. Based in London, you will design and implement pricing, risk and P&L infrastructure and collaborate with Quantitative Modellers to enhance the core pricing library.

You will work with Windows/UNIX environments, implement CI/CD pipelines, and contribute to intraday and end-of-day calculations while liaising with trading, risk and finance teams globally.

Qualifications

• Quantitative developer with pricing and risk experience in finance or trading
• Degree in mathematical finance, science or maths from a top-tier university
• Knowledge of standard pricing models used in investment banking
• Five+ years C++ experience (preferably Visual Studio 2022)
• Knowledge of instrument pricing, P&L, VaR, ES and risk measures
• Experience with Windows and UNIX/Linux, Git and distributed development
• Experience with FX, Fixed Income, Credit or Equities instruments
• Experience in test-driven development and automated CI/CD pipelines
• Knowledge of distributed computing and serialization
• Scripting: Python, Perl, Shell, C#, Java, VBA
• Cross-platform C++ development
• Excel proficiency
• Data analysis
• Ability to handle multiple outputs in fast-paced environment

Responsibilities

• Assist design and implementation of pricing, risk and P&L infrastructure
• Assist Quantitative Modellers to develop core pricing library
• Develop quantitative tooling to support the platform
• Daily support for library pricing and risk issues
• Design, develop and integrate intraday pricing, risk and P&L calculations
• Design, develop and integrate end-of-day risk and P&L calculations to retire legacy platform
• Design, develop and integrate market data pipelines

Skills

C++ development

Quantitative finance

Pricing models

Windows/UNIX

Git

CI/CD

Python

Cross-platform

Excel

Data analysis

Team collaboration

Education

Degree in mathematical finance or related field

Tools

Visual Studio 2022

Git

Linux/Unix

CI/CD tooling

Job description

Fixed Income Currencies and Commodities (FICC) Quants (a division of Global Banking and Markets) are looking for a C++ developer specialising in Rates and Credit Derivatives.

The candidate will be expected to:

• Assist the design and implementation of pricing, risk and P&L infrastructure surrounding the core pricing library
• Assist the Quantitative Modellers to develop the core pricing library
• Develop the Quantiative tooling required to support the platform

The role will cover the following agendas:

• Daily support for quant library pricing and risk issues
• Design, development and integration of intraday pricing, risk and P&L calculations
• Design, development and integration of end-of-day risk and P&L calculations allowing the retirement of the legacy vendor platform
• Design, development and integration of market data pipelines

The candidate should expect to have day-to-day interactions with the trading desk, other quants, the Risk and Finance departments, and technology teams. While the role is London based, the team and clients are located globally with presence in London, Paris, Hong Kong and Bangalore. Occasional travel may be required.

Essential Certifications, Qualifications and Experience

• Experience working as a Quantitative Developer pricing and risking derivatives in quantitative finance, IT development, or a trading environment
• A degree in mathematical finance, science or maths from a top tier university
• Knowledge of the standard pricing models used in the investment banking industry
• Five or more years C++ experience (preferably using Visual Studio 2022)
• Knowledge of instrument pricing, sensitivity calculations, P&L prediction, P&L explain, VaR, ES and other risk measures.
• Knowledge of Windows and UNIX/LINUX, understanding of and experience with version control systems (GIT) and distributed development process.
• Knowledge of the main instruments used in FX, Fixed Income, Credit, or Equities
• Test-drive development and automated CI/CD pipelines
• Knowledge of distributed computing and serialisation techniques
• Knowledge of at least one of the following scripting languages: Python, Perl, Shell Script, C#, Java, VBA.
• Experience in cross-platform C++ development
• Good knowledge of Excel.
• Experience of data analysis
• Ability to work in fast-paced environment with proven ability to handle multiple outputs at one time