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Develop the desk delivery tools and analytics used by Macro trading desks to perform custom analysis. Drive the design and implementation of the new Omega analytics library for the Macro business and the tools used by other Macro quants.
Develop a Python pricing framework for the Macro models used by both the Macro quants and traders
Develop the functionalities in the Omega library required to price and risk Macro products: trade conversion, vanilla pricers, PDE and MC implementation, static data , risk metrics
Support the Macro trading desks to perform bespoke analysis
Decision-making and Problem Solving
Post graduate degree in a technical discipline (STEM) from a top-rated university. Ideally with a background in computer science and/or financial engineering
In depth C/C++ and Python knowledge is required.
Track record of developing pricing and risk analytics.
Previous experience on Macro products (flow and vanilla options, Fixed Income, FX or Inflation), and developing in a shared codebase with multiple developers is desired
Good written and verbal communication in English
Risk and Control Objective
Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Barclays Policies and Policy Standards.
Methodical aptitude for problem solving
Keen and able to learn quickly. Able to adapt to change and work in a fast changing environment
Able to work independently and collaboratively within a team
Able to explain technical concepts to non-technical users
Uses initiative to spot potential problems and finds innovative ways to solve them
Able to balance tactical and strategic solutions in line with the overall needs of the bank, delivery focused