I am currently working with a Top Global Investment Bank in New York City that is actively looking for a Director-level Linear Rates Desk Quant to help lead the New York Rates team across pricing model development and the development of a new C++ Interest Rates Quant library.
They are looking for a senior desk quant with a deep breath of experience working within Linear Rates products, especially across Swaps, and extensive pricing model and curve development knowledge. This individual will also have to be very knowledgeable and hands-on within C++ to help build out a new C++ pricing library for the Rates team as an individual contributor. If you want to join as a senior lead of a fast growing and highly competitive Rates business where you will be doing extensive Rates modeling and C++ work, then this is the perfect opportunity for you!
Key Responsibilities:
- Develop and implement pricing models and interest rate curve construction in C++ for Linear Rates products and Swaps
- Work on the development and implementation of a new C++ Interest Rates Pricing Quant Library
- Work extensively alongside the Linear Rates trading desk to provide daily support and develop trading and analytical tools to be used daily by the desk
Key Qualifications:
- 7+ years of experience working on C++ pricing model development and curve construction for Linear Rates products. Extensive experience within Swaps is a plus.
- Extensive experience working within C++ library development and implementation.
- Degree in Mathematics, Computer Science, Engineering, or another quantitative field. Masters or PhD preferred.
- Demonstrate exceptionally strong quantitative, problem solving and programming skills in C++
