C++ Developer - Quant - 12 months - Global investment bank
Montash have been engaged by a global investment bank, who require a Resources Management for a 12 -month contract based in London
Global Markets Quantitative Research is contributing to many innovative projects aimed to streamline and harmonize the pricing, risk and P&L chain for derivatives products. This is a unique opportunity to work on a major project with very ambitious targets and requires a significant number of experts to work together and deliver it.
The role being offered is to participate in the Structured Credit Platform industrialisation project. The job covers the following tasks with the prioritization being done by the quant team:
- Second phase of deployment of credit payoffs on the dedicated electronic platform called Smart Derivatives
- Automatic booking of trades in the FO deal capture systems
- Automatic generation of termsheets
- Develop an All-in-one Web pricer
- Develop an industrialized Secondary platform
- Industrialise the MIFID II and PRIIPS pricers
Focus for the Role:
- Implement the Bond Repacks and index tranches pricings in the SmartD framework
- Implement all the cost and charges and ensure their consistency with MIFID and PRIIPS frameworks.
- Implement the automatic booking feature in the deal capture systems
- Work with the dedicated teams to automatically generate the termsheets and enrich them post-trade
- Adapting the Credit library to be Meta-CPS compliant
This role will require both a very strong level of C++ as well as a good knowledge of risk and P&L Explain for Fixed Income products.
- Strong knowledge of credit derivatives products. Experience working with large scale quantitative library (Risk, Pricing, P&L Explain) is essential.
- Extensive experience with C++ / C#. Experience with Python a plus:
- 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.
If you are available for a new contract position, please get in touch with me on 0207 014 0239 or email me on Ashleya@montash.com