Interest Rate Quantitative Analytics Director
London, UK | Hybrid Working
£Highly Competitive + Bonus + Benefits
C++, Curve Building, Interest Rate Derivatives, Quantitative Finance, Python, Real-Time Pricing, Electronic Trading
A leading capital markets institution is seeking an experienced Interest Rate Quant Director to join their London-based team. This is a high-impact position for a senior quant with deep expertise in curve building, interest rate derivatives, and C++ development. You'll work at the intersection of quantitative modelling, trading, and technology to drive innovation in pricing and risk analytics.
Key Responsibilities
* Design and develop advanced C++ libraries for real-time curve construction.
* Calibrate models to market data to ensure pricing accuracy and trading efficiency.
* Collaborate with trading desks to adapt methodologies in response to evolving market conditions.
* Work alongside engineering teams to optimise model performance for electronic trading systems.
* Reconcile analytics between the new C++ library and legacy systems.
* Support front office teams, risk managers, and senior leadership on pricing, hedging, and risk management.
* Explore and implement new modelling approaches to enhance computational performance.
* Engage with external control groups to provide transparency and support on model oversight.
Key Requirements
* Advanced postgraduate degree in a technical discipline (Mathematics, Physics, Statistics, Engineering, Computer Science, etc.).
* Extensive experience in curve building, interest rate derivatives, and quantitative modelling.
* Strong expertise in C++ development for financial applications.
* Familiarity with Python and Excel for supporting analytics.
* Deep understanding of pricing models, numerical methods, and market data sources.
* Exceptional communication and technical writing skills.
* Team-oriented mindset with a collaborative approach to problem-solving.
This is a unique opportunity to join a highly regarded quant team working at the forefront of interest rate modelling. You'll be part of a collaborative and intellectually stimulating environment with strong opportunities for career progression and innovation.