Vice President – Front Office Quantitative Analytics (Latin America Rates & FX)

About the role

The Difference You Make
We are seeking a talented and motivated Front Office Quantitative Analyst to join our New York Quant team supporting the Latin America Rates and FX business.

Responsibilities

• Develop, enhance, and maintain pricing and risk analytics for linear interest rate and FX products, including interest rate swaps, cross-currency swaps, FX forwards/NDFs, sovereign bonds, repos, and money market instruments.
• Design and enhance multi-curve construction frameworks for discounting, forwarding, collateral, and cross-currency basis across developed and Latin American markets.
• Develop quantitative models and market data infrastructure supporting local and offshore Latin American markets, including BRL, MXN, CLP, COP, PEN, and other regional currencies as applicable.
• Contribute to the development of the firm's next-generation quantitative library in Rust and its Python APIs for front-office applications.
• Maintain and enhance existing C++ pricing libraries while driving the migration toward modern, scalable architectures.
• Design and extend APIs that enable efficient integration across pricing, risk, and trading platforms.
• Develop pricing, risk management, and market-making tools used directly by Sales and Trading in daily decision-making.
• Incorporate FX dynamics including funding, collateral, cross-currency basis, offshore liquidity, and local market conventions into pricing and risk analytics.
• Optimize numerical methods and improve the performance, robustness, scalability, and reliability of pricing and risk calculations.
• Investigate pricing and risk discrepancies, perform root-cause analysis, and deliver robust solutions within business timelines.
• Partner closely with traders and structurers to develop new pricing methodologies, improve risk analytics, and support new product initiatives.
• Contribute to testing frameworks, model validation, production monitoring, and quantitative governance standards.
• Document quantitative methodologies, model assumptions, and system architecture for internal stakeholders.
• Collaborate closely with Trading, Sales, Structuring, Risk Management, and Technology teams across global locations.
• Support the strategic transformation of the quantitative platform by promoting best practices in software engineering, architecture, testing, and code quality.

Requirements

• Approximately 3+ years of experience in Front Office Quantitative Analytics, Quantitative Development, Financial Engineering, or related roles supporting trading businesses.
• Proven experience developing pricing models, market data frameworks, and curve construction methodologies for interest rate and FX products.
• Experience supporting production trading environments and working directly with Front Office stakeholders.
• Experience with Latin American markets, emerging market rates, offshore trading environments, or cross-currency products is highly desirable.

Qualifications

• Master's Degree: in related field or equivalent demonstrated through a combination of work experience, training, military service, or education - Required
• PhD: in related field or equivalent demonstrated through a combination of work experience, training, military service, or education - Preferred

Skills

• Strong programming skills in Python and modern C++.
• Experience with Rust or a strong interest in developing production-quality systems in Rust.
• Familiarity with Linux, Git, CI/CD workflows, and modern software development practices.
• Strong understanding of yield curve construction and multi-curve frameworks.
• Bootstrapping, interpolation, discounting, and forwarding methodologies.
• Pricing and risk management of linear interest rate products.
• FX forwards, NDFs, cross-currency swaps, and cross-currency basis.
• OIS discounting, collateral, funding, and valuation adjustments relevant to front-office pricing.
• Numerical optimization techniques and computational methods.

Preferred Experience

• Experience with one or more of the following is considered a plus:
• Quantitative libraries such as QuantLib or similar analytics frameworks.
• Bloomberg, Murex, Summit, or other front-office trading platforms.
• Performance optimization, parallel computing, and scalable distributed systems.
• Automated testing frameworks, model validation, and production monitoring.

Soft Skills

• Strong analytical and problem-solving abilities with a hands-on, ownership mindset.
• Ability to perform effectively in a fast-paced Front Office trading environment.
• Excellent communication skills with the ability to explain complex quantitative concepts to technical and non-technical stakeholders.
• Collaborative approach with the ability to work effectively across Trading, Technology, Risk, and Structuring teams.
• Demonstrated ability to balance quantitative rigor with pragmatic solutions that deliver business value.