C++ Quantitative Developer – Pricing

Our client, a leading investment management firm is looking for a C++ Quantitative Developer to join a modelling quant team.

The role will focus primarily on derivatives pricing, valuation-engine development, code refactoring and performance optimisation across rates, FX and equities, with additional exposure to commodities and credit. This position would suit either an experienced pricing quant with particularly strong C++ engineering skills, or a quantitative developer with solid knowledge of derivatives valuation and financial engineering.

Job Description

• Maintain, enhance and extend an in-house derivatives valuation and risk library.
• Refactor and redesign existing C++ code to improve resilience, maintainability and overall code quality.
• Improve integration and communication between the valuation library, internal production systems and third-party vendor libraries.
• Expand the use of multithreading, concurrency and other performance-enhancement techniques across the library.
• Profile and optimise runtime performance within derivatives valuation and risk-management workflows.
• Investigate and resolve complex production issues and valuation-related bugs.
• Support the implementation of new pricing models, products and payoff structures.
• Work across multiple asset classes, primarily rates, FX and equities, with potential exposure to commodities and credit.
• Collaborate closely with other modelling quants and technology-focused team members.
• Contribute to the long-term design and evolution of the firm’s pricing, risk and pre-trade quantitative infrastructure.

Requirements

• Degree in mathematics, physics, engineering, computer science, financial engineering or another quantitative discipline.
• 5-10 years of relevant experience in quantitative development, pricing, financial engineering or a closely related area.
• Strong hands-on C++ development experience within a production environment.
• Demonstrated experience developing, maintaining or enhancing derivatives valuation engines or quantitative libraries.
• Strong understanding of multithreading, concurrency and runtime optimisation techniques.
• Experience refactoring complex or legacy C++ codebases.
• Familiarity with software architecture, performance profiling, debugging and production-quality engineering practices.
• Practical experience working with derivatives valuation flows and risk-management systems.
• Good understanding of core financial engineering concepts, including derivatives pricing, yield curves, Greeks and risk calculations.
• Experience in one or more relevant asset classes such as rates, FX, equities, commodities or credit.
• Ability to explain technical work in depth and demonstrate genuine hands-on ownership of projects.
• Experience with Python, C#, Excel-based quantitative tools or third-party pricing libraries would be advantageous.
• Experience within an investment bank, hedge fund, asset manager or other front-office quantitative environment would be highly regarded.