Description
A tier 1 European Bank is currently looking for a C++ developer on a multi year project
The client has launched the very ambitious CIB of Tomorrow aiming to strengthen our organisation and adapt CIB to ensure it remains a healthy and sustainable business in the long term, providing solutions to our 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 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/Benefits
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Harmonization of the Front-to-Finance chain across Global Market (Long term)
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Cross-asset offerings in particular via our eBusiness platforms (Short term)
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Avoid duplication of pricers and leverage expertise within each individual GBL
Project Components
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Improve unit testing and regression testing of a C++ analytics library
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Unify multiple build frameworks (TeamCity) and regression test frameworks (Python and in-house solution)
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Improve C++ library to become cross-platform (currently windows only but needs to compile on Linux too)
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Help with the resolution of cross language (ADA/C++) issues and improve interfaces
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Improve tasks distribution on in-house grid framework (Kew)
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Develop micro-services to encapsulate all usage of analytics libraries.
All tasks above are to be conducted with the supervision of the quantitative team to ensure consistency between different asset classes.