FX Options Quantitative Developer – Investment Banking – £900pd

FX Options Quantitative Developer – Investment Banking (Front Office) – London

Rate: £700 – £900 per day

Duration: 24-month contract

We are working with a Global Investment Banking Client based in London who are looking to hire 2 exceptional FX/Options Quantitative Developers with a significant level of experience and expertise for a Transformation based project. In truth We are looking for the top 10% of Quant Developers in London with extensive Front-Office experience to supporting a major project to unify analytics services into a single platform.

Department: FX Options Quantitative Developer – Investment Banking (Front Office) – London

Quantitative Research division is in charge of the modelling, pricing & risk management developments for the entire offering of products within the Global Markets activity. The team operates globally with representatives in London, Paris, Asia and New York and plays a critical role in providing innovative solutions.

My client has launched the very ambitious transformation plan under the CIB of Tomorrow and Digital programmes aiming to strengthen our organisation and adapt CIB to ensure it remains a healthy and sustainable business in the long term, providing solutions to their clients, and core to the Group in its diversified business mix.

In this context, the Global Markets Quantitative Research is tasked to build along with the Global Markets IT a new architecture to streamline and harmonize the pricing, risk and P&L chain for interest rate, FX and credit flow products. This is a unique opportunity to work on a major re-engineering plan with very ambitious targets and requires a significant number of experts to work together and deliver this new platform.

The role being offered is to participate in this major multi-faceted re-engineering project and work within the Global Markets Quantitative Research Transversal Architecture team to develop our Flow Rate Risk and P&L Explain analytics library to the evolutions of the Global Markets environment. The job covers the following tasks with the prioritization being done by the quant team:

Objectives / Benefits

• Harmonization of the Front-to-Finance chain across Global Market (Long term)
• Avoid duplication of pricers and leverage expertise within each individual GBL

Project Components

• Create an harmonized payload (PDL) building services in different pricing libraries (Reflection API) and make them stateless and connection-less
• Retrieve all static and market data components inside CPS component from market data Central Cache (MDD)
• Retrieve all Positions from any class of Assets from a ‘MDD-like’ point of entry
• Route payload to the relevant pricer
• Harmonize PDL definitions of market data across Global Business Lines and ensure proper ownership.
• Optimise interaction between C++ and ADA parts of the library
• Create comprehensive regression/unit tests of PDL pricing

Focus for the Role:

In the context of this project a unified risk engine allowing the generation of consistent risk and P&L Explain scenario for all asset classes has been designed. Alongside a senior quantitative analyst the role will initially involve extending the capacity of this engine to a wide class of IRFX hybrid options. Ensuring the risk measures are in line with current production and a good level of testing is put in place on the new framework.

This role will require both a very strong level of C++ as well as a good knowledge of risk for Fixed Income IRFX products.

All tasks above are to be conducted with the supervision of the quantitative team to ensure consistency between different asset classes.

Skills Required: FX Options Quantitative Developer – Investment Banking (Front Office) – London

• Strong knowledge of fixed income IRFX products
• Extensive experience with C++ :
  • Participation in large scale projects
  • Object oriented programming
• Comfortable with large scale libraries and working with different profiles (quants, IT etc.)
• Ability to propose new design patterns and architectures with a strong emphasis on clean and ordered code with a focus on industrialization.
• Prior experience in front office quantitative research is mandatory
• Good interpersonal skills given the numerous actors in this re-engineering project.
• Able to work autonomously within the requirements of the project and the quant team.
• A flexible, hands-on attitude and willingness to make things happen

As you can see from this role, I am looking to recruit the top 10% of Quant Developers is in this space.

Please do send across to me the most up to date copy of your CV to eobiechefu@welovesalt.com

This job ad was posted by Salt. To find out more about Salt’s Privacy Policy and how your application is processed, please visit our website https://welovesalt.com/privacy-policy/.