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Quantitative C++ Developer

  • Location

    London, England

  • Sector:

    Demand IT & Business Engagement

  • Job type:

    Contract

  • Salary:

    £550 - £615 per annum

  • Contact:

    Amy Harris

  • Contact email:

    amyh@montash.com

  • Salary high:

    615

  • Salary low:

    550

  • Job ref:

    quant040717_1499155125

  • Published:

    12 months ago

  • Duration:

    12 months

  • Expiry date:

    2017-08-03

  • Startdate:

    ASAP

  • Consultant:

    #

Montash have been engaged by a Leading Investment Bank to source a Quantatative C++ Developer to work in close collaboration with the Flow Research Group. You will primarily focus on working on the design and implementation of various aspects of pricing and risk analytics

You will be working on a System that runs in house analytics for pricing and risk of vanilla interest rate deriratives. Historically it has been an Excel add in written in C++ which runs locally on trader workstations in various packaged formats. The Analytics SDK also forms the basis for a number of in house risk systems to pre calculate risk vectors, which feed other downstream systems and for retrieval by spreadsheet

The products you will cover are

-FRAs

-Swaps (Include CMS, DRS, Inflation, Bond Index and total return swaps)

-Caps/Floors (Including Digital and Knock out Deals)

-Swaptions

-FX Spot/forward

-Bonds and Repos

-Futures and Listed Options (including Bond, index and short/IR contacts)

You will be tasked with streamlining and harmonizing the pricing, ris and P&L chain

Ideal Candidate

  • C++ Developer with the ability to work quantitative code
  • Good Analytical Skills
  • Any previous exposure to software design and development on a large scale project, especially for distributed computation systems
  • Agile Experience
  • Ability to assimilate a sizeable library of code in order to be able to enhance both codebase and architecture effectively
  • Any exposure to investigative support into production issues and responding to queries about the system usage from desk side business support ad other application deveopment teams.

Degrees

Quantitative (any)

IT Development

C++

Products/Exchanges

Fixed Income Derivatives

Bonds, Repos, Futures

Highly Desirable Skills

C#, Python, XML, STL/Boost, Microsoft .NET, Windows 7, Excel