Quant Developer - C++, Python, Derivative Pricing

An Initial AI Screening will be conducted for this role.

Contract Duration: 12 months

Typical Day in Role:

• Champions a customer focused culture to deepen client relationships and leverage broader Bank relationships, systems, and knowledge.
• Help implement and test US mortgage related products, such as whole loan and non-agency residential mortgage-backed security models (RMBS) for the Bank’s US whole loan trading/RMBS business
• Help implement and test quantitative models within the credit asset class.
• Provide quantitative support to Front Office Credit trading desks by building customized tools, performing intraday trading support and running ad hoc analysis.
• In active collaboration with other stakeholders including but not limited to trading desk, technology support and Trade floor risk management teams to deliver the high-quality outcome regarding new models’ integration and providing quantitative support of the existing businesses.

Technology Stack:

• Primary development in C++
• Supporting tools include Python and other scripting languages

Must Have Skills:

1) 3+ years of experience as a developer, with some experience in capital markets

2) Programming experience in C++

3) Experience with Python & other scripting tools

4) Experience in derivative pricing and their risks

Nice-To-Have Skills:

1) Experience with other programming languages such as VBA

2) Solid knowledge in Credit derivatives and US MBS cashflow and prepayment modelling is a plus.

3) Experience with Fixed income, Structured Finance and Mortgage space

Soft Skills Required:

• Good communication and interpersonal skills and a team player

• Ability to work well in a fast-paced environment with changing priorities

Education:

Post-secondary education in mathematics, Computer Science, Software Engineering, Physics or other quantitative areas – Quant/mathematical/finance masters are an asset

FP Inc. is committed to creating an inclusive environment where all team members and clients feel like they belong. In accordance with the requirements set out in the Employment Standards Act, FP Inc. hereby declares that AI is utilized in the screening process for this position. The hourly compensation range for this role is $90/hr -$110/hr. We seek applicants with a wide range of abilities, and we provide an accessible candidate experience. We advocate for you and welcome anyone regardless of race, colour, religion, national origin, sex, physical or mental disability, or age.