Sr. Quant Developer

Quantitative Developer – Fixed Income / Rates

We are looking for a Quantitative Developer with strong fixed income and interest-rate derivatives knowledge to join Quantifi’s quantitative development team in Sydney.

This role will work closely with our Fixed Income and Rates teams , developing and enhancing pricing, risk and analytics functionality within Quantifi’s platform.

The emphasis of the role is on quantitative finance and fixed income expertise . You should be comfortable understanding pricing models, market conventions and risk, and be able to translate that knowledge into working software. You do not need to be a specialist software engineer, but you will need sufficient programming ability to implement and maintain quantitative functionality in our production library, which is primarily written in C#/.NET .

What we're looking for

• Strong knowledge of fixed income and interest-rate products
• Good understanding of derivative pricing, valuation and risk
• Experience with products such as bonds, swaps, FRAs, futures, options, swaptions, caps/floors or other rates derivatives
• Understanding of yield curves, discounting, forward curves, sensitivities and market conventions
• Ability to understand quantitative models and translate them into robust implementations
• Programming experience in C#, C++, Java, Python or another object-oriented language
• Ability to investigate pricing or risk discrepancies and understand whether an issue comes from the model, market data, conventions or implementation
• Strong numerical and analytical skills
• Ability to work closely with quantitative researchers, developers, product specialists and front-office users

Programming

Our quantitative library is primarily written in C#/.NET , so you will be expected to develop functionality in C#.

Previous C# experience is desirable but not essential. We are more interested in candidates with strong fixed-income knowledge, quantitative ability and enough programming experience to become productive in our codebase.

This is not a pure software-engineering role ; programming is the means by which you will implement quantitative pricing and risk solutions.

Experience

Typically 2–8 years of experience in one or more of:

• Fixed income / rates quantitative development
• Front-office quantitative analysis
• Rates or fixed-income trading technology
• Pricing and risk systems
• Quantitative libraries or analytics platforms

Experience working directly with a rates, fixed-income or derivatives desk would be particularly valuable.

Nice to have

• C#/.NET
• Experience implementing pricing models or risk analytics
• Curve construction and calibration
• Interest-rate volatility modelling
• Credit or fixed-income analytics
• Python
• Experience with front-office or enterprise risk systems

The role

You’ll work on Quantifi’s pricing, risk and analytics platform, used by financial institutions globally. You’ll be involved in turning real-world fixed-income and rates requirements into quantitative functionality that can be used reliably in production.

The role is Sydney-based and hybrid, working with colleagues across Sydney, London and New York.