DRW is a principal trading firm, which means no outside investors or third party funds rather we trade for our own account in markets around the world. Our trading is diverse—across asset classes and instruments, using our own models and systems—and it’s this diversification that sets us apart. We were founded in 1992 by bringing together technology, research, and risk management to capture trading and investment opportunities and we still take that approach today. Though we’ve grown to more than 700 exceptional people in six cities around the world, we have the spirit of a start-up and a constant focus on results.

DRW is looking for an exceptional Quantitative Researcher with an expertise in fixed income, primarily focused on interest rate products, to join a team of highly talented engineers tasked with building a proprietary fixed income analytics platform. Your role will focus on all areas of quantitative research including the research, development, and testing of valuation models while working closely with the software engineers responsible for the analytics platform. Your work will be used throughout the organization on a daily basis by traders, risk managers, and back office analysts.

To qualify for this role, you:

• have 3-7 years of experience in a Front Office quant role at a major bank or buy-side firm
• have in-depth knowledge of fixed income and interest rates products such as bonds, swaps, cross-currency swaps, futures, FRAs, swaptions, caps/floors, futures options, mid-curve options, etc.
• have a deep understanding of modern modeling methods used for pricing and risk management of linear and non-linear interest rates derivatives (including multi-curve models, stochastic and local volatility modeling, CMS, curve options, etc.)
• have 3-7 years of professional experience with C++ including C++ 11/14
• have expert-level knowledge of Excel and VBA
• can demonstrate expertise in stochastic calculus, probability theory, and other related fields of math
• have an advanced degree (Ph.D. is strongly preferred) in a quantitative field such as physics, mathematics, operations research or financial engineering
• have strong communication and collaboration skills with the ability to work within a multi-disciplinary team that includes traders, software engineers, and quants

 Bonus points if you have:

• experience with other programming languages such as C#, Java, Python
• exposure to or experience with derivatives in asset classes such as FX, Commodities, Equity, EM
• experience with development of relative value models for fixed income and interest rates derivatives
• experience in design and architecture of analytics libraries
• experience with optimizing numerical calculations for optimal performance
• experience leading research initiatives/projects with limited oversight
• experience developing term structure models (LMM, LGM, QGM, Cheyette, etc.)
• experience with statistical analysis and working with large datasets provided in relational or key-value databases
• created interactive tools built on top of the analytics you’ve provided
• experience training less quantitative personnel on topics such as fixed income analytics