Software Developer

Years of experience: 5-7

As a developer in the Linear Rates Technology team, they will be required to work with the desk, quantitative strategists, QA teams and their IT colleagues to understand and document requirements, design systems architecture, as well as code implementation, guide QA teams to develop integration tests, conduct post-rollout follow-ups and contribute with production support. Moreover, the team has a culture of collaboration, therefore contributions / participation in knowledge transfer sessions are strongly encouraged.

Projects cover all aspects of front-office risk and market data such as capture, storage, workflow management, manipulation and calibration of yield curves and other market data objects. Various risk systems are used for calculation and generation of reports for estimation of PnL (Profit and Loss) and risk profile of a diverse collection of simulation scenarios relevant to the desk for both intraday and EOD usages. the systems are used to price quote requests to clients and book them into our capture systems when filled.

This is an exciting opportunity to work on the Firm’s next generation, cross-asset Risk Calculation Environment (RICE). RICE is a strategic project, consolidating Firm’s valuation, risk, market data and Profit & Loss (PnL) for all OTC cash and derivative positions. This is a great chance to work on a technically challenging, multi-year project to renovate Firm’s risk and market data systems and to learn about the Firm’s Fixed Income Derivatives business by working closely with the desk and strategists.

RICE is a graph-based calculation platform with pricing engines running on top of more than 5K Virtual Machines deployed through several Computing Grids that can shrink and expand depending on demand, running billion of computations every day. You’ll be working on one of the largest Scala codebases in the world with a lot of opportunities to make significant contributions and impact to Firm’s business.

This is a front-office technology team. Depending on the project, they will be expected to have interactions with the desk and quants/strats as well as financial controllers, market risk and derivative operations departments. As pricing sits at the very core of the business, there will be interactions with a wide range of other technology teams as well, for example: RICE Core/FX/Credit, Optimus, Enterprise Applications Infrastructure, Analytics, and many others.