Flow Rates Quant Analyst (Contract)
My client is a top Investment Bank based in London that currently have 3 contract positions for relevant candidates in the Flow Rates team. The position is for a ‘typical’ front office based desk quant for a 6 month contract. Candidates must possess good math and C++ skills as well as strong communication to liaise with trading desks and senior management. Would prefer a candidate with Rates experience although this is flexible
The team deals with yield curve building and pricing and risking analytics for swaps. The main duties involve
- Liaising and interaction with heads of desk and senior IT managers
- Design, construction and maintenance of multi-curve yield curve models for single and cross currency.
- Direct desk support, resolving pricing and risk issues and assisting with spreadsheet design
- Development and maintenance of Yield Curve and Swap analytics in a C++ library Integration of our analytics into back office IT systems
- CSA collateral discounting (CTD optionality, Mandatory breaks, etc.) and inflation curves modelling
Key Requirements
- At least 2 years hands on C++
- Strong Math/Modelling skills
- MSc/PhD in a quantitative discipline from a leading University
- In depth knowledge of derivative products
- Experience with Yield Curve Building
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