An Industry-leading Tier 1 Bank is looking for a Quantitative Researcher to join their Linear Rates team and play a crucial role in supporting the Front Office Rates business. This includes deep involvement in Interest Rate Curve construction, instrument pricing, and curve bootstrapping, with a specific focus on complex curve structures across major and minor currencies, adding and enhancing to pre-existing libraries.
Key Responsibilities:
- Provide quantitative support to the Front Office Rates business.
- Enhance and extend the Interest Rate Curve library, including bootstrapping and curve construction.
- Work on the valuation of flow rates and volatility products, ensuring accurate and robust pricing models.
- Collaborate across banking and securities businesses, ensuring unified and efficient model application.
Skills and Experience:
- Strong coding skills in Python/C++ within large library contexts
- Expertise in curve bootstrapping and instrument pricing, particularly in high-speed coding environments.
- Deep understanding of flow conventions and the valuation of flow rates products.
- Proficiency in Excel for live pricing tools and a strong grasp of interest rates market data.
Ideal Candidate:
- Experienced in Quantitative modelling in a bank / hedge fund environment, with a background in curve bootstrapping and volatility modelling.
- Proven track record in front office support, particularly in desk and Excel spreadsheet support.
- Excellent communication skills, a structured approach to work, and strong problem-solving abilities.
