Quant Director – Fixed Income & Rates

The Role:

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.