Linear Rates Quant
London, GBR
6d ago


Posted Apr 14, 2022 - Requisition No. 102546

Bloomberg’s Quantitative Analytics team is responsible for the design and implementation of modelling analytics that support client pricing and risk management solutions for financial products across the entire suite of Bloomberg products and services, including its terminal with 300,000+ clients, trading system solutions, buy- and sell-side enterprise risk management, and derivatives valuation services.

  • These models include those for pricing derivative products across all major asset classes, including market data; counterparty credit, XVA and initial margin;
  • value-at-risk and other market risk metrics; and credit risk models. The team has two recent Risk Quant of the Year winners and is dedicated both to novel research as well as efficient model delivery through a modern C++ library.

    Within the Quantitative Analytics team, the Greeks Analytics group is responsible for developing efficient solutions for vanilla and exotic derivative portfolio sensitivity calculations, as well as deploying these into production in cooperation with our Model Validation, Engineering and Product Manager partners.

    The group has three open positions in London or New York for experienced quantitative analysts to support our investment in new linear interest rates market data, pricing and sensitivity analytics needed by our growing client business.

    Typical responsibilities will include :

    Industrial-strength implementation of a multi-curve framework and linear IRD pricing :

  • Design and implement a modern post-Libor multi-curve construction engine with native Algorithmic Differentiation (AD) support
  • Contribute to the design and extension of our derivative portfolio sensitivity calculation framework, focusing on AD based interest rate sensitivities
  • Design and extend the public APIs for interest rate curve construction and sensitivity calculations
  • Write modern, clean, reusable, well tested, peer-reviewed C++ code
  • Improve the performance of derivative portfolio workflows, to reduce hardware costs
  • Product management :

  • Translate business requirements into precise math that translates well into algorithms
  • Handle workflows and requirements from sell- and buy-side clients, both for trading and regulatory purposes
  • Provide mathematical and technical documentation to internal stakeholders and external clients
  • Keep up to date with mathematical, technical and regulatory innovation in the financial industry
  • Stakeholder relationship management :

  • Work closely with quants and quant developers to quickly iterate design and modelling decisions
  • Liaise with business stakeholders : discuss and finalise specs, solve project issues
  • Support our clients and Sales team
  • Work closely with our Engineering department to integrate quant code into IT systems
  • Discuss functionality and tests with Model Validation for release to production
  • You'll need to have :

  • A Masters or PhD level qualification from a leading university in a quantitative discipline (such as Mathematics, Physics, Engineering or Quantitative Finance).
  • Significant experience (VP level or above) from a leading buy or sell-side institution developing, implementing, and delivering linear interest rates data, pricing and sensitivity analytics.
  • Experience of Algorithmic Differentiation is useful.

  • Proficient in modern C++ software design and implementation. Familiarity with Python is useful, but not essential.
  • Good communication and writing skills and ability to interact productively and positively with multiple stakeholder teams, both internally and with external clients in support of our Sales teams.
  • Why Bloomberg?

    Bloomberg is committed to diversity. It drives our innovation. At Bloomberg, you'll have the opportunity to go above and beyond and to take risks.

    You'll be a part of an organization that is entering new markets, launching new ventures, and pushing boundaries. Our ever-expanding array of technology, data, news, and media services fosters innovation and empowers clients and offers nearly limitless opportunities for career growth.

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