Selby Jennings
Rates Library Quantitative Developer
Selby Jennings - New York, New York, us, 10261
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Overview
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Overview
We are working with a top-tier global investment bank in New York to support the expansion of its Linear Rates Quant team. This team is central to the success of the global rates trading business, delivering advanced quantitative models, tools, and infrastructure.
This is an exceptional opportunity for early-career quants to gain direct exposure to trading desks, contribute to revenue-generating strategies, and tackle sophisticated modeling and engineering challenges. Team members will collaborate with experienced quantitative leaders from elite financial institutions and academic backgrounds.
Key Responsibilities:
Design and implement linear interest rate derivative models to support the North American trading business Develop and maintain high-performance analytics libraries in C++, including large-scale re factoring and modernization of legacy codebases Build robust infrastructure for pricing and risk, including volatility surface models and curve construction frameworks Create and maintain C++ libraries for Excel integration, enabling seamless data access and secure work flows for quants Support traders with day-to-day pricing, hedging, and risk management, delivering tools and insights in C++ Optimize C++ infrastructure for performance and scalability, including multithreading and micro-services Ideal Candidate Profile:
1-3 years of experience in front office quantitative modeling, ideally within interest rate derivatives or related asset classes Fluency in C++ development Familiarity with fixed income products, interest rate modeling, and volatility surface construction Experience building tools and libraries using C++ for Excel integration, and secure credential handling Advanced degree in a quantitative field (e.g., Mathematics, Physics, Financial Engineering, Computer Science) preferred Strong problem-solving skills and the ability to thrive in a fast-paced, collaborative environment
This is an exceptional opportunity for early-career quants to gain direct exposure to trading desks, contribute to revenue-generating strategies, and tackle sophisticated modeling and engineering challenges. Team members will collaborate with experienced quantitative leaders from elite financial institutions and academic backgrounds.
Key Responsibilities:
Design and implement linear interest rate derivative models to support the North American trading business Develop and maintain high-performance analytics libraries in C++, including large-scale re factoring and modernization of legacy codebases Build robust infrastructure for pricing and risk, including volatility surface models and curve construction frameworks Create and maintain C++ libraries for Excel integration, enabling seamless data access and secure work flows for quants Support traders with day-to-day pricing, hedging, and risk management, delivering tools and insights in C++ Optimize C++ infrastructure for performance and scalability, including multithreading and micro-services Ideal Candidate Profile:
1-3 years of experience in front office quantitative modeling, ideally within interest rate derivatives or related asset classes Fluency in C++ development Familiarity with fixed income products, interest rate modeling, and volatility surface construction Experience building tools and libraries using C++ for Excel integration, and secure credential handling Advanced degree in a quantitative field (e.g., Mathematics, Physics, Financial Engineering, Computer Science) preferred Strong problem-solving skills and the ability to thrive in a fast-paced, collaborative environment