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Front Office Vanilla Interest Rate Quant
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Millar Associates
Front Office Vanilla Interest Rate Quant

Front Office Vanilla Interest Rate Quant

London Full-Time No home office possible
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Client:

Location:

London, United Kingdom

Job Category:

Other

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EU work permit required:

Yes

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Job Reference:

aeae82f843cb

Job Views:

4

Posted:

02.06.2025

Expiry Date:

17.07.2025

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Job Description:

Front Office Vanilla Interest Rate Quant (VP), London

London Ref: FOVIR-0107 Total to £240 + Benefits Leading Global Investment Bank Yield curves, Xccy swaps, Skew, CDS, C# or C++

Our client, a leading Investment Bank, seeks to hire a VP Quant Analyst to join its expanding Front Office Quant team in London. With a solid background as a Fixed Income Quant (Front Office or Modal Val), you will provide modelling & pricing (e.g. Swaps, Curves, etc.), building tools & applications and developing the quant model library in C++ & C#. You will also assist Traders with Quant solutions and also provide quantitative solutions to the wider firm as per business needs.

KEY RESPONSIBILITES:

  • Contribute to the development of in-house quant solution, with focus on pricing, risk, model calibration and market data
  • Assist in the extension of the pricing library to comply with the Model Risk frameworks.
  • Improve tools used by traders.
  • Analyze desk sensitivities (risks) and attribution of PnL, implementing changes in libraries and tools.
  • Improve the internal market data model for certain data types, for example CDS spreads.
  • Contribute to the effort to remove unused features from internal libraries and tools.
  • Contribute to documentation and validation of model

    • ESSENTIALS SKILL, EXPERIENCE

  • 4 yrs+ in front office or model validation.
  • Good understanding of IR derivatives (swap with multi-urve, swaptions with skew), vanilla derivatives in one other asset class
  • Strong quant development skills in C# or C++.
  • Contributed to production code used for valuation or risk engine for PnL & sensitivities
  • IR curve bootstrapping expertise: e.g. choice of interpolation, choice of instruments, curve hierarchy, etc.
  • Good understanding of risk profiles of Xccy swaps, vanilla options.
  • Experience in changing valuation Monte Carlo, PDE, tree or numerical integration
  • PhD or Masters in a Scientific Discipline
  • (Hybrid working – 3 days in Office)

    • #J-18808-Ljbffr

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    Contact Detail:

    Millar Associates Recruiting Team

    View Millar Associates Profile
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    Millar Associates
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