Quants C++ Developer Banking

City, London
£150K Basic plus package
WFH/Office Blend

Tier One Global Investment Bank. 3+ years experience in interest rate derivatives products and their valuation models. Strong programming skills in C++, C+ or higher version. Programming languages such as Python. Solid background in PDE, Monte-Carlo and stochastic calculus. PhD or Master's Degree in Mathematics, Computer Science, Software Engineering, Physics or other quantitative areas.

Responsibilities

The role: Develop valuation models for interest rate derivatives products, and ensures the theoretical soundness, the numerical accuracy, and the implementation correctness of these models. Integrates existing derivative model libraries into bank systems. Develop robust, reliable and user-friendly Front Office analytics for pricing, hedging, risk management and P&L attribution for both intraday and end of day. Provides daily and on demand quantitative support to the business in a timely manner related to valuation, risks, PnL attribution, hedging and so on. Provides subject matter expertise to model stakeholders such as the business, risk management, audit, product control and technology groups during and post of the model implementation. Forms a close partnership with the business to deliver models and analytics to production from end-to-end with limited supervision.

Qualifications

• 3+ years experience in interest rate derivatives products and their valuation models.
• Strong programming skills in C++, C+ or higher version.
• Programming languages such as Python.
• Solid background in PDE, Monte-Carlo and stochastic calculus.
• PhD or Master's Degree in Mathematics, Computer Science, Software Engineering, Physics or other quantitative areas.

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