Senior Linear Rates Quant: Curve Construction & Pricing

eXalt Fi in London is seeking an experienced Front Office quant to drive the curves side of a migration project. You will redesign a curve construction framework used by a Tier 1 bank’s trading floor and work on a production-grade C++ library.

Responsibilities include pricing and risk for IRS, OIS, FRAs, and futures, reproducing methodologies from legacy systems, and close collaboration with quants, traders and IT to ensure pricing consistency during the migration.