Quantitative Developer - Fixed Income and Rates

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 productsGood understanding of derivative pricing, valuation and riskExperience with products such as bonds, swaps, FRAs, futures, options, swaptions, caps/floors or other rates derivativesUnderstanding of yield curves, discounting, forward curves, sensitivities and market conventionsAbility to understand quantitative models and translate them into robust implementationsProgramming experience in C#, C++, Java, Python or another object-oriented languageAbility to investigate pricing or risk discrepancies and understand whether an issue comes from the model, market data, conventions or implementationStrong numerical and analytical skillsAbility to work closely with quantitative researchers, developers, product specialists and front-office usersProgramming 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 developmentFront-office quantitative analysisRates or fixed-income trading technologyPricing and risk systemsQuantitative libraries or analytics platformsExperience working directly with a rates, fixed-income or derivatives desk would be particularly valuable. Nice to have C#/.NETExperience implementing pricing models or risk analyticsCurve construction and calibrationInterest-rate volatility modellingCredit or fixed-income analyticsPythonExperience with front-office or enterprise risk systemsThe 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.