VC++ C# Developer – XML SQL Oracle – Pricing Fixed Income Derivatives recruitment
C++Developer with Fixed Income experience. Good Maths also the ability to develop some Server Side componets in C#. IT Development experience in C++, C# XML, Microsoft .NET, Windows XP, Windows 7. IT Infrastructure experience in Excel, SQL Oracle. Good knowledge of Fixed Income Derivatives products.
Role
A C++ Developer is required to work on an Inhouse application for pricing risk analysis of vanilla interest rate derivatives.
It is primarily an Excel add-in that is written in C++ runs locally on trader workstations in this form.
The products covered by the library include: FRAs Swaps (include CMS, DRS, inflation, bond index total return swaps) Caps/Floors (including digital knock in/out deals), Swaptions, FX spot/forward (but not options), Bonds Repos. Futures Listed Options (including bond, index short/IR contracts.
The core functionality is also exposed through APIs for use in C++, VB, Python, Java .NET, there are many other Front Office applications used within the bank that are built around the in house library using these interfaces.
The areas covered by these systems include: Deal capture, Distributed risk, PnL revaluation, Credit pricing, Exotic pricing, FX option pricing, OTC e-trading, bond e-pricing.
The platform is therefore vital to Fixed Income activities since it forms a common access point for numerous pieces of shared functionality.
In turn the system relies on various market static data sources as well as additional quantitative analytics libraries provided by other teams.
Of particular importance is the functionality developed by the flow option research teams who not only contribute the major quant libraries for use in the in house application, but also give direction on future business focus, so working in conjunction with them is key to the success of the platform.
The C++ developer is expected to quickly assimilate a sizeable library of code, integrate new features assist with general maintenance bug fixing.
It will also involve responding to queries about the system usage from desk side business support other application development teams.
Adlam Consulting operates as an Employment Agency an Employment Business