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C++ Quant Developer - Investment Banking

London
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Description

C++ Quant Developer - Investment Banking

Quantitative C++ Developer required as part of a dedicated IT team working in very close collaboration with the Flow Research Group.

Skills and Qualifications

Degrees (MSc) - Quantitative (any) IT Development - C++

IT Development - C# IT Development - Python IT Development - XML

IT Development - STL/Boost

IT Development - Microsoft .NET IT Development - Windows 10 IT Infrastructure - Excel Products/Exchanges - Fixed Income Derivatives

Products/Exchanges - Bonds, Repos, Futures

Our role primarily involves working on the design and implementation of various aspects of pricing and risk analytics for flow rates products, as a standalone library, for use in services and as a part of a wider valuation and risk in-house system for pricing and risk of vanilla interest rate derivatives. It has historically been an Excel add-in written in C++ which runs locally on trader workstations in various packaged formats. In addition the analytics SDK also forms the basis for a number of in-house risk systems to pre-calculate risk vectors, both feeding other downstream systems and for retrieval by spreadsheet. Some of these also include a process to automatically update the risk with all new trades so that the pre-calculated sets of risk are kept up-to-date using the same market data.

The products covered by the analytics include:

- FRAs

- Swaps (include CMS, DRS, inflation, bond index and total return swaps)

- Caps/Floors (including digital and knock in/out deals)

- Swaptions

- FX spot/forward (but not options)

- Bonds & Repos

- Futures & Listed Options (including bond, index and short/IR contracts)

As part of the digital transformation of the investment back, Quantitative Research are tasked to streamline and harmonize the pricing, risk and P&L chain. This is a long term project

Adlam Consulting operates as an Employment Agency & an Employment Business Applicants must be eligible to work in the specified location

Inside IR35 - Not Fully Remote

Start date
ASAP
Duration
6 months Ongoing
From
Adlam Consulting Ltd
Location
London
Published at
21.05.2022
Project ID:
2390876
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