Senior Rates Quantitative Analyst

Our client, a premier Investment Bank in New York, is strengthening its front‑office Rates Quantitative Analytics team in New York and is seeking a senior, desk‑aligned quantitative specialist to support exotic and non‑linear interest rate products. This role sits close to trading and focuses on the implementation, extension, and maintenance of pricing models within existing front‑office libraries, rather than green‑field model research. The ideal candidate is deeply familiar with the models used behind production pricing libraries for complex rates products and has been hands‑on developing, maintaining, debugging, and fixing issues in those libraries. This is a highly practical, front‑office role for someone comfortable working directly with traders on real pricing and risk problems in a fast‑moving environment. ResponsibilitiesSupport the trading desk with day‑to‑day pricing, risk analysis, and model behavior for exotic and non‑linear interest rate productsWork hands‑on with existing pricing libraries, including extending functionality, debugging issues, and fixing production bugsApply and maintain models used to price swaptions, caps/floors, callable and cancellable swaps, CMS structures, and other complex rates productsEnsure accurate implementation of interest rate and volatility models embedded in front‑office systemsCollaborate closely with traders, structuring, and technology teams to troubleshoot pricing discrepancies and improve tool reliabilityContribute to scenario analysis, stress testing, and risk explain for complex structuresMaintain high standards for code quality, performance, and numerical stability across front‑office analyticsAct as a subject‑matter resource on model usage, assumptions, and limitations rather than pure theoretical development QualificationsStrong experience working with exotic interest rate derivatives, beyond vanilla swaps (e.g., swaptions, caps/floors, CMS, callable structures, structured treasury swaps)Proven background working hands‑on with pricing libraries used in front‑office environmentsSolid understanding of the models that sit behind these libraries, even if not developed fully from scratchStrong programming skills in C++ and PythonTrack record of debugging, extending, and fixing production quant code, not just using existing modelsExperience working directly with trading desks in a front‑office or desk‑aligned quant roleAdvanced degree in a quantitative discipline (e.g., Mathematics, Physics, Financial Engineering, Computer Science) preferredClear communicator who can translate technical issues into practical trading outcomes