Rebuild the curve construction framework a Fixed Income trading floor runs on. A Tier 1 bank’s Front Office quant team in London is migrating its C++ pricing library to a new target architecture and is looking for an experienced linear rates quant to drive the curves side.
The role
- Migrate and redesign the interest rate curve construction framework
- Price and risk linear products: IRS, OIS, FRAs, futures
- Reproduce existing curve methodologies to keep pricing consistent throughout the migration
- Identify, analyse and explain discrepancies between legacy and target systems, then fix them
- Work closely with quants, traders and IT on a production-grade C++ library used directly by the desk
What we’re looking for
- 5+ years as a Front Office Quant or Quant Developer (mandatory)
- Advanced C++ in production systems
- Strong expertise in yield curve construction and calibration
- A proven track record developing and maintaining pricing models
- A rigorous mindset: you enjoy understanding exactly why two numbers differ
Nice to have
- Experience on large transformation or migration projects
- Familiarity with pricing libraries used in trading environments
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Quant Analyst, Linear Rates employer: eXalt-Fi
eXalt FI is an exceptional employer that fosters a dynamic and collaborative work culture in the heart of London. With a strong focus on employee growth, we offer tailored development opportunities and a supportive environment that encourages innovation and excellence in the fast-paced world of Market Finance IT Staffing. Join us to be part of a team that values your contributions and empowers you to make a meaningful impact in the industry.
