Rates Quant Developer | London, UK

Huxley; London; On-site; GBP 60,000 - 120,000; Full time

Job summary

An established industry player is seeking a Rates Quant to join their dynamic team in London. In this pivotal role, you will collaborate closely with the Head Quant and Trader to develop cutting-edge pricing libraries and curve analytics. You will lead the implementation of advanced market-making models, manage a talented team, and engage in strategic discussions to enhance operational efficiency. This role offers the opportunity to work on low-latency systems and modernize legacy tools, making a significant impact in the fast-paced world of fixed income e-trading. If you are passionate about quantitative finance and technology, this is the perfect opportunity for you.

Qualifications

• 5+ years of experience in quantitative analysis and programming.
• Strong knowledge of pricing and risk management for interest rate products.

Responsibilities

• Lead the implementation of pricing and curve analytics in C++20.
• Develop yield curve modelling frameworks for pricing and risk management.
• Manage a team of junior quants and developers.

Skills

C++20

Curve Construction Analytics

Market-Making Models

Yield Curve Modelling

Risk Management

Algorithmic Automatic Differentiation

Tooling and Diagnostics

Low-Latency Systems

Tools

Excel

Web-Based Applications

Job description

Top Tier Investment Bank requires a Rates Quant to sit with the Head Quant & Trader to build out Pricing Libraries and construct curve analytics.

1. Lead the implementation of pricing and curve construction analytics in C++20. Develop market-making models in collaboration with traders. Play a central role in specifying and designing tooling and diagnostics for live solvers, RFQ pricing, and risk. Partner with the Head of FICC E-Trading Engineering on the architecture design for low-latency systems leveraging fast optimizers and algorithmic automatic differentiation (AAD).
2. Develop and maintain yield curve modelling frameworks for pricing and risk management of linear interest rate products (swaps, bonds, futures) and cross-currency swaps.
3. Manage one direct junior Quant report, one dotted-line support staff, one quant developer, and two developers. Engage in strategic discussions with senior management and business leaders to enhance international hiring, reduce operational risk, and streamline global support for the fixed income e-trading business. Successfully lead desk projects in collaboration with North American teams.
4. Initiate extensive revamps of existing Excel-based legacy front-office tools, driving their migration to modern web-based applications to enhance efficiency, scalability, and usability.
5. Engage with IT, local application support, and InfoSec teams to diagnose and optimize the latency and computational performance of the client’s analytics on traders' desktops and servers.

Since 1995, we have been helping experienced professionals, like you, take the next step in your career. Working with world-renowned companies of all sizes and sectors.

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