Fixed Income Quant Job Description Template

The fixed income quant works on the pricing, risk and relative value of interest rate and credit instruments. The domain is model heavy, since much of the market has no directly observable price, and it demands genuine comfort with curve construction, term structure models and the conventions that vary by market. Accuracy in the plumbing matters as much as the modeling.

Typical Duties and Responsibilities

• Build and maintain yield curve and term structure models
• Develop pricing and risk analytics for rates and credit instruments
• Research relative value opportunities across curves and issuers
• Calculate and validate risk sensitivities across the book
• Handle market conventions, day counts and settlement rules correctly
• Analyze basis, spread and carry relationships
• Support traders with bespoke pricing and hedging analysis
• Validate model output against observable market prices
• Document model methodology and assumptions
• Improve the performance and reliability of pricing libraries

Education

• Master’s or PhD in mathematics, physics, financial engineering or a related field

Required Skills and Experience

• 3+ years in a fixed income quantitative role
• Strong grasp of curve construction and term structure modeling
• Understanding of interest rate derivatives and their risk
• Proficiency with Python, and with C++ where pricing performance matters
• Careful handling of market conventions and calendars
• Ability to reconcile model prices to market observations
• Numerical methods including Monte Carlo and finite difference
• Clear documentation for model governance

Preferred Qualifications

• Credit derivatives or inflation product experience
• Prior sell side rates desk experience