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Harmonization of the Front-to-Finance chain across Global Market (Long term)
Avoid duplication of pricers and leverage expertise within each individual GBL
Create a harmonized payload (PDL) building services in different pricing libraries (Reflection API) and make them stateless and connection-less
Retrieve all static and market data components inside CPS component from market data Central Cache (MDD)
Retrieve all Positions from any class of Assets from a 'MDD-like' point of entry
Route payload to the relevant pricer
Harmonize PDL definitions of market data across Global Business Lines and ensure proper ownership.
Optimise interaction between C++ and ADA parts of the library
Focus for the Role:
In the context of this project a unified risk engine allowing the generation of consistent risk and P&L Explain scenari for all asset classes has been designed. Alongside a senior quantitative analyst the role will initially involve extending the capacity of this engine to generate a step-Revaluation P&L Explain in line with the methodology defined by global Markets quantitative research for flow rates products and ultimately a risk-based approach too.
This role will require both a very strong level of C++ as well as a good knowledge of risk and P&L Explain for Fixed Income IRFX products.
All tasks above are to be conducted with the supervision of the quantitative team to ensure consistency between different asset classes.