Description
Murex 3.1 Quant Developer sought by leading investment bank based in Canary Wharf.
PAYE/Umbrella Only - Inside IR35
This is a Quantitative Developer position 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 with our client to facilitate trading, risk management and product development.
* 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 key
Skills Required:
* Murex 3.1 knowledge of multi curves
* FXO and Commodity Derivative experience essential
* MXG Flex experience essential
* Knowledge of Jenkins 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 (preferably using Visual Studio 2017)
* Excellent communication skills
Please apply within for further details or call
Alex Reeder Harvey Nash Finance & banking