The Interest Rate Quant Director is responsible for the entire spectrum of quantitative, analytical, technical, and development activities for the interest rate trading desks, with a particular focus in developing a C++ curve library for high speed electronic trading. The mandate involves developing a state-of-the-art high performance quant library to build real-time curves that accurately reflect market conditions and accurately value and hedge single currency/xccy swaps and other interest rate derivatives. The role also entails supporting traders, marketers and BMO CM senior management with the models, tools, analytics and information to effectively price, execute and hedge transactions and to understand, monitor and manage existing risk.
Requirements
- Deep industry experience in curve building theory and practice
- Deep industry experience in interest rate derivatives market
- Deep industry experience in software development experience using C++
- Broad knowledge in quantitative finance, pricing methodologies, numerical methods, market data sources, best data sources
- Knowledge of Python and Excel
Responsibilities
- Developing new mathematical and computational methods for building real-time curves in C++
- Using the C++ library to calibrate the curves to accurately reflect market conditions and value transactions
- Working closely with trading desks to monitor the market conditions and evolve the curve building methodologies
- Working closely with engineering team to tune performance for electronic trading applications of the models
- Working closely with the rest of quant team to reconcile the analytics between the C++ library and legacy curve and pricing library
- Supporting traders, senior management, and risk managers regarding deal modeling and pricing, hedging, risk measurement and risk management
- Profiling and investigation of new models/approaches to improve model performance
Other
- Advanced post-graduate degree in a technical field (mathematics, physics, statistics, engineering, computer science, etc.)
- Strong teamwork mentality, and the ability to connect to the team and leverage existing resources and tools to advance business goals
- Strong technical writing ability and strong communication skills
- Interacting with the external control groups outside of FO and facilitating their understanding and oversight of models
