Quantitative Researcher - Rates

This team sits under the Fixed Income & Commodities Technology (FICT) group and will develop and maintain the in-house pricing libraries to support trading in Fixed Income, Commodities, Credit, and FX business at Millennium. FICT provides a dynamic and fast-paced environment with excellent growth opportunities.

Responsibilities:

Work closely with Quants in London, New York & Geneva to develop fixed-income pricing and risk analytics for our in-house pricing library, as well as pre-trade analysis tools or Portfolio Managers
Front office position – support our EMEA based Portfolio Managers

Requirements:

At least 3+ of experience with Linear Rates analytics
- Curve building and curve interpolation analytics for all curve tenors: OIS, Libor, Cross-currency, etc
- Experience with bond analytics
- Experience with inflation analytics, swaps and linkers preferable
- Cross-currency & FX curve pricing & modelling, including turn modelling
Strong analytical and mathematical skills
Strong problem solving capabilities
Strong C++ programming experience
Solid communication skills
Able to work independently in a fast-paced environment.
Detail oriented, organized, demonstrating thoroughness and strong ownership of work