Vanilla Rates Pricing Quant

Role Overview

We have partnered with a fast-growing macro hedge fund looking to hire a Vanilla Rates Pricing Quant to join their quant team. This individual will take full ownership of the pricing and risk analytics across a broad range of vanilla rates products (as well as some exotics), while also contributing to the extension and enhancement of a mature in-house C++ analytics library. The ideal candidate will combine strong technical expertise with hands-on experience in fixed income derivatives pricing, bringing a financial engineering mindset and the ability to work independently and collaboratively on both greenfield and maintenance projects.

This is a high-impact role within a dynamic, multi-disciplinary quant team where the successful candidate will have broad exposure to portfolio managers and senior stakeholders, and the opportunity to shape the firm’s analytics capability in the rates space.

Key Responsibilities

• Build and own the pricing and risk analytics for a wide range of vanilla rates derivatives.
• Extend, maintain, and enhance an existing, mature C++ pricing library, with a focus on both new product development and incremental improvements.
• Develop new modules and methods to support pricing of custom or exotic payoffs as needed.
• Work closely with the senior quants on the team to assess and prioritize analytical improvements and product coverage.
• Translate novel product ideas into production-ready analytics, including model development, implementation, testing, and documentation.
• Support the portfolio management team by delivering robust pricing tools and responding to new analytical requirements in a timely manner.
• Collaborate across the quant team while taking ownership of specific projects from inception to delivery.

Requirements & Qualifications

• 3–8 years of experience in a quantitative role focused on vanilla rates derivatives pricing, ideally in a hedge fund, asset manager, or trading environment.
• Any experience pricing exotics would be a plus (but not the core focus of the role)
• Strong programming skills in C++ (familiarity with QuantLib is a plus).
• Proficiency in Python for prototyping, testing, or workflow automation.
• Solid understanding of fixed income and vanilla rates products (e.g., swaps, swaptions, bond futures, etc.).
• Background in financial mathematics or a strong grasp of the concepts gained through hands-on experience.
• Proven ability to take ownership of complex projects and deliver independently in a fast-paced environment.
• Comfortable working with and improving legacy codebases while also building new pricing models from scratch.
• Strong communication and collaboration skills; ability to interact directly with PMs and senior quants.
• Mindset oriented toward pragmatic solutions - able to balance model accuracy with implementation efficiency when appropriate.
• Prior experience in building, maintaining, or extending pricing libraries is a must.
• Adaptable and entrepreneurial attitude - comfortable working across evolving priorities in a non-siloed, collaborative environment.