Quantitative Developer - FX Options

Job type:
Start date:
1 year
Resource Solutions - HSBC
Published at:
flag_no United Kingdom
Project ID:

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HSBC Global Banking Markets are recruiting for an Quantitative Developer - FX Options to sit within the FX Option quant development team which is responsible for designing, developing and supporting the mathematical models and analytical tools used by the FX Option desk at HSBC to facilitate trading, risk management and product development.

The Quantitative Developer - FX Options focuses on the interfacing of the quant libraries with the PTS used in HSBC globally, and will require frequent interaction with the London based trading team and regional heads.

The Quantitative Developer - FX Options will be responsible for:

  • Enable correct pricing for front to back systems using IBOR for the FX and PM Option business globally
  • Integrate PTSs (MXG 3.1 & Apollo) with Quant Pricing infrastructure to utilise live pricing and scenario capabilities via Flex API for all IR, MMK and FX & Metal Options products
  • Integrate PTSs (MXG 3.1 & Apollo) with Market Data, and Discounting multi curves between PTS Market Data API and Quant Pricing Infrastructure
  • Integrate the IBOR curves (Libor replacement) into the PTS to enable multi curve pricing
  • Integration of OIS discounting and CSA into the FXO Architecture
  • Development of the MXG Flex interface to support both MXG 2.11 and 3.1
  • Optimization of Risk and Valuation analytics
  • To provide rapid fixes to any issues identified in the Flex layer

The Quantitative Developer - FX Options will have experience in:

  • Murex 3.1 knowledge of multi curves
  • FXO and Commoditiy Derivative experience essential
  • MXG Flex experience essential
  • Knowledge of Jekins or another build deployment tools preferable
  • MxML and FpML knowledge required
  • Knowledge of the standard pricing models used for pricing and risk in the investment banking industry
  • C++ experience (preferabally using Visual Studio 2017)
  • Excellent communication skills.

If you are interested in the Quantitative Developer - FX Options please send me an updated CV.