- Joined
- 11/17/21
- Messages
- 1
- Points
- 11
Origin is looking for an experienced rates quant to extend our existing XCCY swap pricer to support the new risk free rates (SONIA, SOFR, €STR, TONAR and SARON). Experience with xccy swaps, OIS pricing and bootstrapping is required, as well as a good understanding of the challenges of LIBOR transition.
Our existing pricer built on top of Quantlib Python supports xccy swapping for the G10, SGD, HKD and CNH. We have real-time streaming data feeds from an interdealer broker covering the required instruments.
Our user acceptance criteria is being within 1 bps difference versus the Bloomberg SWPM.
We envisage this being a fixed-term contract, fully remote.
We pay very competitively.
Our existing pricer built on top of Quantlib Python supports xccy swapping for the G10, SGD, HKD and CNH. We have real-time streaming data feeds from an interdealer broker covering the required instruments.
Our user acceptance criteria is being within 1 bps difference versus the Bloomberg SWPM.
We envisage this being a fixed-term contract, fully remote.
We pay very competitively.
