Linear Rates Quant / Desk Strat, Macro Hedge Fund, London

Linear Products (Swaps, Bonds, etc.), Options, Curves, Pricing & Risk, Python

RESPONSIBILITIES:

Contribute to the development of a new python-based curve fitting framework and pricing / risk engine
Build front office risk management and trade finding tools.
Build out library functionality for valuation, risk, scenario, for a wide range of cash products in G10 and EM, and listed derivatives
Provide day to day quantitative support for the firm's portfolio managers and risk managers.

ESSENTIAL SKILLS:

3-10 yrs+ experience as a Quant with good knowledge of Linear Rates and curves modelling
Minimum Master's degree in a quantitative subject (Physics, Maths, Engineering, Computer Science)
A passion for financial markets and a willingness to engage in and learn interest rate modelling.
Strong Python hands-on programming skill is a core requirement
Ability to communicate with Portfolio Managers, traders, risk & the Front Office

DESIRABLE ATTRIBUTES:

C# /Microsoft Excel experience is a plus
Familiarity with databases and query writing
Experience in curve calibrations including OIS discounting, collaterals and funding curves
Experience working with Front Office

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