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C++ Developer - Quant - 12 months - Global investment bank

  • Location

    London, England

  • Sector:

    Information Technology

  • Job type:

    Contract

  • Salary:

    £625 - £650 per day

  • Contact:

    Ashley Andrews

  • Contact email:

    AshleyA@montash.com

  • Salary high:

    650

  • Salary low:

    625

  • Job ref:

    C/+25820_1517828274

  • Published:

    8 months ago

  • Duration:

    12 Months

  • Expiry date:

    2018-02-12

  • Startdate:

    ASAP

C++ Developer - Quant - 12 months - Global investment bank

Montash have been engaged by a global investment bank, who require a C++ Developer for a 12-month contract based in London

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 derivatives products by creating a unique interface to access quantitative libraries and unique output format: the Central Pricing Service (CPS). This is a unique opportunity to work on a major re-engineering project with very ambitious targets and requires a significant number of experts to work together and deliver this framework.

The role being offered is to participate in this major multi-faceted re-engineering project and work within the Global Markets Quantitative Research team to help deliver this new platform. The job covers the following tasks with the prioritization being done by the quant team.

Objectives:

  • Harmonization of the Front-to-Finance chain across Global Market (Long term)
  • Cross-asset offerings in particular via our eBusiness platforms (Short 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

Focus for the Role:

In the context of this project a unified risk engine allowing the generation of consistent risk scenario for all asset classes has been designed. Alongside Senior Credit quantitative analysts and GMQR architects, the role will involve:

  • Adapting the Credit library to be Meta-CPS compliant
  • Extending the capacity of this engine to generate flexible stress test and complex market scenarios
  • Implementing the Step-Revaluation P&L Explain in line with the methodology defined by global Markets quantitative research

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.

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

Essential skills:

  • Strong knowledge of derivatives products. Experience working with large scale quantitative library (Risk, Pricing, P&L Explain) is essential.
  • Extensive experience with C++ / C#. Experience with ADA or 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