£850 per day | London | Contract
IQ Talent Solutions
Posted 23 days ago
Keywords: c#, csharp, .net, quant, quantitative, developer, programmer, modelling, analytics, otc, derivatives, swaps, options, bonds, curve, yield, rates, inflation, pricing, library, c++, teamcity, sql, bitbucket, asset, investment
My client is a leading global Investment Management business looking to hire a highly technical C# Quant Developer to join the Quant Modelling & Analytics product team, responsible for developing and enhancing the current infrastructure of pricing models which are used in valuing OTC derivatives, bonds and ETDs, and constructing curves for downstream systems.
The incumbent will be working as a C# Developer with the pricing platform quant library, leveraging solid C# experience in implementing either pricing or risk systems, to make model changes and fix analytics, curve construction using existing models, and maintain or build out pricing interfaces and the data access layer. You won't be expected to write the pricing libraries but will need to have worked with them extensively in the past.
The C# Quant Developer will be expected to:
* Develop and enhance the current infrastructure and pricing models which is used for valuation and risk in downstream systems.
* Work in 2-week sprints, delivering functionality into the pricing library as agreed with the business owner.
* Submit code for peer review and perform regression testing.
* Solve and assist in adhoc pricing issues or bugs that arise into production.
The successful C# Quant Developer will possess:
* Strong mathematical knowledge (although the role is more development rather than new model specification).
* Good understanding of instrument pricing for MtM & Market Risk purposes.
* Proven experience working on rates, inflation, bonds, options and associated curve construction and bond pricing.
* Strong software development experience using C#. Knowledge of C++ is ideal but must have the C#.
* Experience working within a quantitative library and/or quant library design.
The role will start remotely but ideally return to office work in March with WFH also.
Please get in touch for more details.
InterQuest Group is acting as an employment agency for this vacancy. InterQuest Group is an equal opportunities employer and we welcome applications from all suitably qualified persons regardless of age, disability, gender, religion/belief, race, marriage, civil partnership, pregnancy, maternity, sex or sexual orientation. Please make us aware if you require any reasonable adjustments throughout the recruitment process.