Quant Analyst, Linear Rates

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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