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We are required to perform Front Office Quantitative development to migrate the fixed income automated trading platform onto post IBOR indices.
We will provide excellent knowledge of fixed income interest rate swaps and bonds, both from the perspective of pricing and curve construction, and good understanding of benchmark reform. Direct face off to senior traders across the international interest rates business.
Responsible for migrating the fixed-income curve-building platform (the platform) onto new post IBOR indices.
Initially responsible for familiarizing yourself with the code base of the platform (Java) and will work in collaboration with Traders and Quants to identify and implement the requirements for the post IBOR curve-building framework
The scope of this role will initially cover G4 currencies (AUD, EUR, USD and GBP).
You will first create an excel based unit test before implementing this in the platform. You will also create any necessary unit tests and documentation within the platform
You will report to the head of the e-trading platform team
Skills and experience
Server-side core Java in low latency systems, preferably within electronic trading
Front office quantitative development experience; preferably involving futures, fixed income bonds and interest rate swaps
Experience in developing and deploying changes to a production trading system
Experience using No-SQL databases such as MongoDB.
Test driven development and tools such as JUnit and EasyMock
Source code control and build management and tools such as Subversion, Git, Maven and TeamCity¬¬
Preferably Microsoft Excel development experience,
Preferably experience working with distributed in-memory and memory mapped data structures such as Chronicle or Hazelcast
A pro-active, motivated approach
Strong numerical skills
Results driven, with a strong sense of accountability
The ability to operate with urgency and prioritize work accordingly
Excellent communication skills
Strong decision-making skills, the ability to demonstrate sound judgement
Strong numerical skills
A structured and logical approach to work
Strong problem-solving skills
A creative and innovative approach to work
Excellent attention to detail and accuracy
A calm approach, with the ability to perform well in a pressurized environment