Multiple Roles with a focus on C++, Python, VBA, Excel Macros.
To be able to understand how flow product pricing works (eg. how to price a swap / a swaption) and to be knowledgeable in Excel. Depending on traders’ specific needs, this person might also have to enhance the spreadsheets. Also able to understand as well the implications from a security point of view (eg. having one spreadsheet used by two entities means some access restriction needs to be put in place regarding market data / trades loading).
Knowledgeable about quantitative modelling, have a good understanding of IR volatility.
Knowledgeable of basic products (eg. swaps, swaptions / knowing more complex products like rates exotics is a plus), and how basic risks are computed. A good understanding of curve construction would be useful.
