Contract C++ Quant Developer - Capital Markets

Posted 02 July 2024
Salary £750 - £850 per day
LocationLondon
Job type Contract
Discipline Banking & Financial Services
ReferenceBBBH198499_1719935388

Job description

Contract C++ Quant Analyst/Developer - Global Markets - Inside IR35

One of our global banking client's Global Markets division is looking for a Contract C++/Quant Analyst/Developer with experience developing models in quantitative finance.

The idea candidate will be proficient in C/C++ and have a good quant background with strong curve understanding.

Curve modelling background would be ideal, but some training can be provided around this if you only have basic exposure.

Role description:

  • Development of the underlying mathematical models and analytical tools used by the FX, Fixed Income, Credit, or Equities desks
  • To design, develop, test and document the models developed to banking standards
  • Develop technical solutions for the desk as required
  • To provide rapid fixes to any issues identified in the models
  • To develop model calibration routines and market data analytics (such as curve bootstrapping and interpolation)


Required skills and experience:

  • Solid background in stochastic processes, probability and numerical analysis. Physics, Engineering or similar subjects is desirable, but not strictly required.
  • Knowledge of main instruments used in FX, Fixed Income, Credit, or Equities
  • Knowledge of CVA, CSA discounting, VaR, ES and other risk measures
  • Strong C++ skills
  • Knowledge of at least one of the following scripting languages: Python, Perl, Shell Script, C#, Java, VBA
  • Good knowledge of Excel
  • Knowledge of Windows and UNIX/LINUX, understanding of and experience with version control systems (GIT) and distributed development process.
  • Knowledge of distributed computing and serialisation techniques preferred
  • Ability to work in fast-paced environment with proven ability to handle multiple outputs at one time


Certification, Qualifications and Experience:

  • 1-5 years working as a Quantitative Analyst developing models in quantitative finance, IT development, or a trading environment
  • A degree in mathematical finance, science or maths from a top tier university · Knowledge of the standard pricing models used in the investment banking industry · C++ experience (preferably using Visual Studio 2017)
  • Excel VBA experience required
  • Python experience preferred
  • Experience with IBOR a plus