Interest Rates Quantitative Developer
We are PIMCO, a leading global asset management firm. We manage investments and develop solutions across the full spectrum of asset classes, strategies and vehicles: fixed income, equities, commodities, asset allocation, ETFs, hedge funds and private equity. PIMCO is one of the largest investment managers, actively managing more than $1.91 trillion in assets for clients around the world. PIMCO has over 2,800 employees in 17 offices globally. PIMCO is recognized as an innovator, industry thought leader and trusted advisor to our clients.
PIMCO is one of the worldâ€™s premier fixed income investment managers with thousands of professionals around the world united in a single purpose: creating opportunities for our clients in every environment. Since 1971, we have brought innovation and expertise to our partnership with the institutions, financial advisors and millions of individual investors who entrust us with their assets. We aspire to cultivate performance and leadership through empowering our people, diversity of thought, and a commitment to an inclusive culture that engages in our global communities. Position Description:
The function is that of a front office interest rate quant working with the specialist portfolio managers and technology for interest rate and FX products, specifically:
- Develop enhancements to the design of PIMCOâ€™s C++ and Python libraries for interest rate product pricing and risk management. Examples include: ongoing improvements to PIMCOâ€™s interest rate and bond curve library, development of models for nonâ€vanilla interest rate products, interface architecture for integration with the wider pricing and risk management systems.
- Develop enhancements to the Python ecoâ€system for rapid development of preâ€trade analytics used by portfolio managers.
- Provide quantitative support and expertise to portfolio managers globally.
- 2-3 yearsâ€™ of experience as an interest rate quant, ideally from a top sellâ€side firm or buyâ€"side firm.
- Masterâ€™s degree in a quantitative discipline such as mathematics, financial economics, econometrics, physics or computer science is preferred. A PhD degree would be a plus.
- Strong technical expertise in vanilla interest rate products, option theory, stochastic rates modelling.
- Strong general quantitative skills, specifically financial mathematics, probability, statistics, economics.
- The candidate must be very comfortable programming in C++. In addition Python programming skills are desirable.
PIMCO is committed to offering a comprehensive portfolio of employee benefits designed to support the health and well-being of you and your family. Benefits vary by location but may include:
- Medical, dental, and vision coverage
- Life insurance and travel coverage
- Pension contribution from your first day of employment
- Work/life programs such as flexible work arrangements, parental leave and support, employee assistance plan, commuter benefits, health club discounts, and educational/CFA certification reimbursement programs
- Community involvement opportunities with The PIMCO Foundation in each PIMCO office
By submitting your application, you acknowledge that you have read the role description above and are aware that the role you are applying for is either a Senior Manager or Certified Role under SMCR. You agree to PIMCO carrying out any additional screening required under the SMCR regulations for your role.