Quantitative Developer

Location: London

Length: 6 Months 

PAYE only

Overall purpose of the role

The purpose of the role will be to align BFR’s architecture to the MACRO Intraday Risk strategy, whose objective is to create a scalable enterprise componetised architecture across risk calculation, risk aggregation, post processing (BRisk) and user interaction (BRIsk). 

Such an architecture facilitates the aggregation of risk from multiple sources, as well as provides for a de-coupled stable scalable framework to deal with Markets requirements. The current BFR architecture carries out all the above calculations interlaced within its architecture, and the purpose of the role is to simplify BFR to focus solely on Risk Calculations in the most efficient, stable and performant way. 

The role and responsibilities will include (but not limited to), a review of all components within BFR, de-coupling of all post-processing aspects from the flow of risk calculations (such as jacobian transforms, aggregations) , replacement of the current Coherence cache as the operational store with a Redis store & re-use of the BOR EOD calculator as the intraday calculation engine. Whilst this is a C++ development role, we are looking for someone who is comfortable across a number of technologies, including C# and Java.

Key Accountabilities:

• Review of the flow of BFR’s internal component architecture 

• Establish the most efficient way to re-use the intraday components coupled whilst invoking the EOD BOR API for risk calculations.

• Ensuring that software designs are well documented and shared appropriately across the whole team

• Ensuring high code quality and unit test coverage

• Driving continuous improvement of processes

• Regular and frequent reporting on progress

• Ensuring adherence to technical standards & SDLC including quality measures

Key Skills:

• Strong C++ and general programming skills

• Proven track record of developing large-scale, low latency, high throughput, performant systems

• High level of proficiency with Microsoft development tools

• C++ coding experience

• Background working in Finance, or other areas with a significant focus on numerical data, particularly risk. Understanding of the calculation of Greeks for either of products : Interest Rate Swaps, FX Swaps, FXOptions (or other option products), Bonds, Futures

• Experience and knowledge of Agile project management principals and practice including use of Jira, as well as Dev Ops technologies such as TeamCity and GIT.

• Knowledge of messaging technologies such as Solace, databases and data grids.

About Barclays

Barclays is a British universal bank. It is diversified by business, by different types of customers and clients, and by geography. Barclays businesses include consumer banking and payments operations around the world, as well as a top-tier, full service, global corporate and investment bank, all of which are supported by its service company which provides technology, operations and functional services across the Group.

Values

Everything Barclays does is shaped by its five values of Respect, Integrity, Service, Excellence and Stewardship. The Barclays values inform the foundations of its relationships with customers and clients, but they also shape how Barclays measures and rewards the performance of colleagues. Simply put, success is not just about what you achieve, but about how you achieve it.

Diversity

Barclays aims to foster a culture where individuals of all backgrounds feel confident in bringing their whole selves to work, feel included and their talents are nurtured, empowering them to contribute fully to Barclays vision and goals.

Hybrid Working

Barclays is currently in the early stages of implementing a hybrid working environment, which means that many colleagues spend part of their working hours at home and part in the office, depending on the nature of the role they are in. Barclays is flexible on how this works and it may continue to change and evolve. Depending on your team, typically this means that colleagues spend a minimum of between 20% to 60% of their time in the office, which could be over a week, a month or a quarter. However, some colleagues may choose to spend more time in the office over a typical period than their role type requires. Barclays also has a flexible working process where, subject to business needs, all colleagues globally are able to request work patterns to reflect their personal circumstances

Your Benefits

As a contract employee of Randstad Sourceright, you’ll receive a wide range of financial and personal benefits. There’s enrolment in a pension plan (after 12 weeks on assignment) and holiday pay. You’ll also get 24/7 access to an Employee Assistance Programme, designed to help you deal with any problems that could be affecting your home or work life. Plus, there’s discounts at heaps of high street shops, restaurants and entertainment - from Asda to Zizzi Italian restaurants.