This is a Quantitative Developer position within the FX Option quant development team which is responsible for designing, developing and supporting the mathematical models and analytical tools used by the FX Option desk.
The role focuses on the interfacing of the quant libraries with the PTS used globally, and will require frequent interaction with the London based trading team and regional heads.
- Integrate PTSs (MXG 3.1 & Apollo) with Quant Pricing infrastructure to utilise live pricing and scenario capabilities via Flex API for all IR, MMK and FX & Metal Options products
- Integrate PTSs (MXG 3.1 & Apollo) with Market Data, and Discounting multi curves between PTS Market Data API and Quant Pricing Infrastructure
- Integrate the IBOR curves (Libor replacement) into the PTS to enable multi curve pricing
- Integration of OIS discounting and CSA into the FXO Architecture
- Development of the MXG Flex interface to support both MXG 2.11 and 3.1
Experience and Skills required:
- Murex 3.1 knowledge of multi curves
- FXO and Commoditiy Derivative experience essential
- MXG Flex experience essential
- Knowledge of Jekins or another build deployment tools preferable
- MxML and FpML knowledge required
- Knowledge of the standard pricing models used for pricing and risk in the investment banking industry
- C++ experience (preferabally using Visual Studio 2017)
Eames Consulting is acting as an Employment Business in relation to this vacancy.