Team Lead / Senior Developer, Derivatives Pricing IT recruitment
The role participates in the development of the strategic real time pricing system whose scope includes but is not limited to generating executable and indicative pricing, curve generation and a variety of pricing tools.
PRIMARY RESPONSIBILITIES
Lead the development of pricing system components, related tools and/or applications, primarily in Live Pricing/Quoting space. Most of the development involves some business analysis, a lot of coding in C# or Java, testing and being responsible for the overall delivery to the desk
Develop a close relationship with the trading desk and a deep understanding of their requirements
Collaborate within the global pricing team and with technology teams responsible for Core systems
Continuously evaluate the best mix of technology to solve the business problems
COMPETENCIES Behavioural
Develop Pricing system components, related tools and/or applications, primarily in Live Pricing/Quoting space
Collaborate with technology teams responsible for Core systems
Continuously evaluate the best mix of technology to solve the business problems
Technical
Previous experience developing and delivering real time pricing or risk systems
Highly skilled with C#/.NET and/or Java
Experience with messaging systems such as TIBCO and Solace
Desirable to have experience with databases and distributed cache products (Coherence, SQL Server, etc)
Desirable to have experience with distributed compute grids (DataSynapse)
Good experience with Agile style development
Business Knowledge
Experience with methods and techniques for Valuation of Vanilla Rates products, such as IR Swaps, Swaptions, Futures and Government Bonds
Thorough understanding of swap curve construction methodology and pricing tools trading uses.
Deep understanding of market conventions in terms of quoting, trading and electronic execution of these trades
Good understanding of P/L Decomposition and Interest Rate risk