Quantitative Developer


Our client, Japanese Investment Bank, is one of the world’s leading financial groups. Headquartered in Tokyo and with approximately 350 years of history, they have a global network with 1,100 offices in over 40 countries. The Group has over 140,000 employees, offering services including corporate banking, commercial banking, retail banking, wealth management, investment banking, capital markets, personal and corporate trust, and transaction banking.


The Front Office Solutions department (FOS) supports the trading, sales and risk departments across all asset classes in London, New York, Hong Kong, and Singapore.


FOS-QRD is a team charged with the development of models, pricing tools and system integration of all exotic models used in the firm, on all asset classes. Their products support the trading and risk functions of several different desks via in-house developed applications run on traders’ desktops, compute grids and external cloud compute fabrics. This role is based on the London trading floor.




  • Integration of quant libraries with a focus on curve construction API.

  • Interfacing C++ and C# code.

  • Documentation on pricing methodology and API.


Front Office Solutions (FOS) team is undertaking a project to expand the coverage of its derivative platform. The successful applicant will contribute to:


  • integration of pricing analytics across the Firm,

  • testing and validation of the results,

  • documentation,

  • providing quantitative support to the trading desks and risk managers.




  • Essential:

    • Experience with implementation  of curve construction,

    • Excellent development skills (C# and C++),

    • Knowledge of vanilla interest rate products (e.g. swap, future, bond, bond future, swaption, deposits, future option, bond option).

    • 5 year experience in a quant developer role.

  • Beneficial:

    • Excel/VBA skills.

    • C++/CLI and JNI.

    • COM

    • Knowledge of vanilla pricing models.

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