Pricing Analytics Developer

The pricing analytics team is a small, London based team which is responsible for developing the models and systems to value derivative portfolios and to validate the valuations provided by Quantile's customers. The former is needed so that Quantile can understand the margin, capital and market risk impact of proposing new trades to clients. The latter is required so that Quantile can safely propose which of our customers' existing trades can be terminated or modified. System development is at least as important as the valuation libraries. Quantile has an event processing framework which initiates valuations in response to events such as clients uploading data and these systems need to be robust, scalable and always available. The libraries are written in python, leveraging open source libraries such as numpy and quantlib and use AWS services such as lambdas & ECS.

We are looking for a strong python developer who would like to learn more about derivatives to take a leading role in the design and construction of the systems and applications

Examples of recent projects include:

• portfolio valuation for interest rate swaps and cross currency swaps, fx forwards and options
• yield curve calibration
• development of a risk engine application
• price adjustment algorithm to be able to compare 2 portfolios valued at different times

Responsibilities:

• Design & implement enhancements to the risk engine and valuation framework
• Work with products teams to build new functionality (eg new products, new risk measures)
• Write and improve unit test, regression tests
• Improve the existing code base by fixing bugs participating in code reviews etc
• Production support of the risk and pricing systems (you will be on a support rota that will from time to time require out of hours support)
• Participate in weekly build and release cycle (again you will be on a rota)
• Write and enhance model & system documentation
• Participate in ongoing model validation

Essential:

• 2 to 4 years professional experience as a Python Developer, working on data intensive numerical applications (E.g. Using Numpy, Pandas)
• Experience with the all stages of the software development lifecycle from product design, technical design, coding, testing, documentation, release into production and ongoing maintenance
• Strong understanding of "good design" (eg SOLID design principles) pythonic code style and different design paradigms (eg OO, Functional, Imperative)
• Quantitative background (not essential to understand financial mathematics specifically)
• Excellent problem-solving and communication skills. We work in partnership with product team to collaboratively design and improve functionality

Desirable

• Understanding of financial derivatives including valuation of vanilla derivatives, the role of clearing houses, differences between OTC & listed derivatives, margin, capital
• Experience with AWS python SDK
• Familiarity with unix command line
• Familiarity with git source control system

LSEG is a leading global financial markets infrastructure and data provider. Our purpose is driving financial stability, empowering economies and enabling customers to create sustainable growth.

Our purpose is the foundation on which our culture is built. Our values of Integrity, Partnership , Excellence and Change underpin our purpose and set the standard for everything we do, every day. They go to the heart of who we are and guide our decision making and everyday actions.

Working with us means that you will be part of a dynamic organisation of 25,000 people across 65 countries. However, we will value your individuality and enable you to bring your true self to work so you can help enrich our diverse workforce. You will be part of a collaborative and creative culture where we encourage new ideas and are committed to sustainability across our global business. You will experience the critical role we have in helping to re-engineer the financial ecosystem to support and drive sustainable economic growth. Together, we are aiming to achieve this growth by accelerating the just transition to net zero, enabling growth of the green economy and creating inclusive economic opportunity.

LSEG offers a range of tailored benefits and support, including healthcare, retirement planning, paid volunteering days and wellbeing initiatives.

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