Position Description  Working on the core IRD analytics libraries used by the global trading platform. These libraries include yield curve calibration plus analytic and Monte Carlo simulation IRD pricing models. They are written in C++ and are available on Linux and Windows. The role includes development of new functionality, refactoring, performance tuning, technical stewardship, design direction and quality control. It also includes providing software engineering support to IRD research.

   Skills Required  Strong software engineering including design, object oriented C++, project lifecycle and quality. Highly proficient in C++ including performance optimization. Good knowledge of Visual Studio and the Win32 development platform. Working knowledge of the UNIX or Linux development platform. The candidate will have previous experience in large-scale development projects using C++. They must be able to communicate well with peers and colleagues within the trading and sales functions. The candidate will have a strong mathematical background and will have knowledge of capital markets products and analytics.  Skills Desired  Knowledge of Interest Rate Derivatives products and analytics.