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Fixed Income quantitative Developer

eFinancialCareers
Job LocationLondon
EducationNot Mentioned
SalaryCompetitive salary
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypePermanent , full-time or part-time

Job Description

Fixed Income Quantitative DeveloperFull/Part Time: Full TimeLocation: LondonCompany Overview:We are a globally renowned alternative investment management firm operating across a diverse range of derivatives-based strategies, with a deep understanding of market volatility.Position Overview:This role is part of the firms quantitative development team, specializing in fixed income. This sub-team collaborates closely with our trading desks and risk teams to develop and enhance the modelling and analytics library used to derive risk and profitand loss (PnL) metrics for fixed income assets across the firm.Responsibilities:

  • Build, maintain, and enhance robust, high-impact risk and PnL systems to ensure top-tier performance, reliability, and scalability.
  • Collaborate with other highly skilled engineers across the technology team and the firm daily to solve complex technical challenges and develop state-of-the-art systems.
  • Assist investment teams in researching and generating complex models, leading to idea generation.
Desirable Candidates:
  • 10+ years of experience as a desk quant or working directly on pricing libraries as a quant.
  • Substantial experience in the rates space, including yield curve modelling, parameterization, linear swap pricing/risk, inflation modelling, swap/linker pricing, and more.
  • Proficiency in C++ and Python.
  • Desire to work on all levels of the rates stack, from pre-trade to core analytics.
Candidate Profile:You are a highly experienced senior quantitative developer with over a decade of experience in the financial services industry. Your expertise spans various sectors, including banking institutions, hedge funds, financial data providers, and software vendors.You have been actively engaged in cutting-edge projects centered around analytics, risk management, and market data. Now, you are in search of challenging opportunities within an alternative hedge fund.Work Experience:You have >
  • Designed, implemented, and delivered a live rate market monitoring Python service for trading desks.
  • Implemented real-time PCA risk analytics for end-users, including portfolio managers, middle office, and risk managers.
  • Enhanced application support by establishing an end-to-end testing platform based on Kafka stream.
  • Designed, implemented, and supported trade pricing services in Python.
Cross Asset Analytics Libraries (Quants Team):
  • Implemented market data API in the LIGO Library, covering historic fixings and market conventions.
  • Provided infrastructure and support to build and deliver LIGO on the Linux platform.
  • Developed an in-house computation library for multidimensional data presentation using DSL, Boost, C++17.
  • Built and supported LIGO Python bindings and C++ Excel Add-ins utilizing Pybind11, C++17, LLVM, and Excel 2016.
  • Environments: Analytics and Pricing (IRD, Fixed Income, Credit Derivatives), Market Risk, Python, C++, Databases (Mongo, SQL), AWS, Kubernetes, Distributed Systems, Kafka, SDLC, GitHub, Jenkins, TDD, Jira.
  • Enhanced the existing pricing API to support new instruments, including exotic IRD and Bonds.
  • Improved the Pricing APIs monitoring and scalability.
  • Investigated pricing discrepancies and enhanced library integration processes.
Other Experience:
  • Implemented and enhanced curve stripping API for trading desks, including defining and reviewing curve constituents selection with front office trading teams.
Skills: C#, Python, Web API, SG Marx Lib, Rate Derivatives, Curves Stripping, API Design.

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