Quantitative Developer

The strats team is responsible for designing, building and maintaining the code that handles the data priming, the model execution and the post-processing of the solution into a format that clients can consume. The biggest component of the role is writing and testing the code, which is written in python, so it is important to enjoy coding and be comfortable with designing and writing code in a large, shared codebase. Being comfortable with inter-library dependencies, python package management and continuous development practices is also crucial.

In addition to building the calculations, the strats team is on the front-line when it comes to executing the multilateral runs, which occur with weekly frequency. This requires a high level of engagement with our Production team, to provide timely support during runs and help resolve issues as they arise in real time. A client-focused approach is therefore crucial to the role.

Successful candidates will  build and support one or more Quantile products. They work directly with our Production and Product development teams to enhance the product based on feedback from clients and analysis of runs as well as on strategic projects. Examples of relevant projects include:

• Implement Capital measures (e.g SA-CCR, or IMM) for FX and IR products
• Add a CCAR objective to our existing risk capital optimisation
• Enhance our Initial Margin optimisation to include cleared trades for multiple CCPs
• Implement a new service to move bilateral trades into clearing while maintaining risk and capital under control
• Combine risk capital products within a single multi-objective optimisation
• Improve the runtime performance by reducing the data set and solution search space
• Improve data flow, minimising manual steps, avoiding task duplication, and building an event-driven architecture

Responsibilities for strats team:

• Develop enhancements to the model library to add new components and improve others. This will be a mix of strategic projects (3-12 months) and shorter-term tactical changes
• Become familiar with the data flow and the run processes and continually strive to improve them
• Investigate how to use the model to create desired outcomes for clients
• investigate and debug problems that happen in live runs

This particular role is for an individual contributor who can lead projects such as refactoring of model code and designing new services from the ground up. In addition the successful candidate would be expected to play a leading role in developing the coding, design and architectural skills of team mates via code reviews and mentoring. 

Essential:

• 4+ years of experience building quantitative, data intensive products
• Excellent understanding of software development best practices (such as functional and OO paradigms and standard design patterns)  and design principles (SOLID)
• Excellent understanding of commercial development practices such as testing, documentation, as well as package management and SDL
• Excellent problem-solving skills
• Strong knowledge of UNIX
• understanding of financial derivatives (eg swap pricing), the role of CCP's, margin, capital and counterparty risk measures 
• Strong communication skills (the role will involve explaining often complex algorithms to colleagues with varying technical and mathematical experience)

Desirable:

• Excellent understanding of python for numerical programs. In particular pandas and numpy 
• Understanding of linear programming, mixed integer programming and convex optimisation
• Experience with at least one commercial or open-source optimisation library OR a mathematical modelling language
• A solid mathematical background (numerical methods, linear algebra, partial differential equations, probability & statistics)
• Knowledge of AWS

LSEG is a leading global financial markets infrastructure and data provider. Our purpose is driving financial stability, empowering economies and enabling customers to create sustainable growth.

Our purpose is the foundation on which our culture is built. Our values of Integrity, Partnership, Excellence and Change underpin our purpose and set the standard for everything we do, every day. They go to the heart of who we are and guide our decision making and everyday actions.

Working with us means that you will be part of a dynamic organisation of 25,000 people across 65 countries. However, we will value your individuality and enable you to bring your true self to work so you can help enrich our diverse workforce. You will be part of a collaborative and creative culture where we encourage new ideas and are committed to sustainability across our global business. You will experience the critical role we have in helping to re-engineer the financial ecosystem to support and drive sustainable economic growth. Together, we are aiming to achieve this growth by accelerating the just transition to net zero, enabling growth of the green economy and creating inclusive economic opportunity.

LSEG offers a range of tailored benefits and support, including healthcare, retirement planning, paid volunteering days and wellbeing initiatives.

We are proud to be an equal opportunities employer. This means that we do not discriminate on the basis of anyone’s race, religion, colour, national origin, gender, sexual orientation, gender identity, gender expression, age, marital status, veteran status, pregnancy or disability, or any other basis protected under applicable law. Conforming with applicable law, we can reasonably accommodate applicants' and employees' religious practices and beliefs, as well as mental health or physical disability needs.

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