Rates Quant Strategist

Intro:

Our client, a Tier 1 Bank with HQ in London is looking to bring on an experienced Rates Quant Strategist. The bank is one the largest in the world with a widespread presence across global markets. As a result of strong desk performance the team have been given additional resources to begin new projects including brand new approaches to modelling using some of the most innovative cutting edge techniques around AI and ML.

Position Overview:

They are seeking a highly skilled Senior Quantitative Strategist to contribute to the development of their Rates analytical libraries. This role will focus on pricing, risk, model/ curve calibration, and market data/ trading tool construction. You will be working closely with traders, sat on the trading desk, whilst also working communicating with key stakeholders,

Key responsibilities:

• Develop and extend the Rates pricing library
• Risk and PnL analysis, improvement recommendations and tool change implementation
• Interest rate curve construction and bootstrapping
• Upgrade tools used by traders to boost performance and efficiency
• Conduct research and analysis to identify market trends and opportunities.
• Participate in removing inactive features and dependencies from internal libraries and tools.

Essential:

• Strong knowledge of IR derivatives or vanilla products in other asset classes
• Professional capabilities in C++ and Python
• At least 2 years of experience in front office roles

Beneficial:

• Experience with interest rate curve bootstrapping, including understanding the impact of interpolation choices, instrument selection, and curve hierarchy.
• Clear understanding of the risk profiles of cross-currency swaps and vanilla options.
• Experience in modifying valuation methods such as Monte Carlo, PDE or tree.

If you're interested and feel your experience could be a good fit, please apply by attaching your CV.

Desired Skills and Experience

* Strong knowledge of IR derivatives or vanilla products in other asset classes
* Professional capabilities in C++ and Python
* At least 2 years of experience in front office roles