This is a front-office quantitative role sitting at the intersection of Portfolio Managers/Traders, quantitative research and model development .

The successful candidate will develop the quantitative research, models and analytics used by Macro PMs to identify opportunities, price and structure trades, understand risk, and analyse P&L , with a particular focus on Rates, FX and Relative Value .

1. Rates Pricing & Risk: Develop and validate analytics across swaps, swaptions, IRS, FX swaps/options and cross-currency basis swaps, including Greeks, fixing risk and P&L attribution.
2. Relative Value Research: Research curve and cross-market RV opportunities using PCA, factor/spread methodologies and systematic signals.
3. Strategy Backtesting: Build robust time-series and backtesting frameworks to test and validate Macro/RV strategies.
4. Front-Office Analytics: Design rates monitors, RV scanners and risk/P&L tools, prototyping in Python, Excel and Streamlit before working with developers on productionisation.
5. PM/Trader Partnership: Work directly with Portfolio Managers and Traders to investigate market/pricing discrepancies, explain quantitative methodology and help translate research into actionable trade ideas.

1. 4–8 years' experience in Quant Research, Desk Quant or a closely related front-office quantitative role.
2. Rates / Quant: Strong knowledge of rates pricing and risk, yield-curve construction, swaps/swaptions, IRS Greeks and Relative Value.
3. Quantitative Methods: PCA, factor models, time-series analysis, systematic strategy backtesting, VaR and P&L attribution.
4. Technology: Strong Python is essential . Excel required; C++/C#, Streamlit and Bloomberg/Refinitiv API experience are advantageous.
5. Domain: Strong understanding of Fixed Income / Rates / Macro markets , ideally with experience across curve, spread, carry/roll or cross-market RV strategies.
6. Approach: Front-office minded, rigorous and commercially aware, with the ability to communicate complex quantitative concepts clearly to PMs and Traders.

1. Genuine front-office exposure — work directly with Macro PMs and Traders on analytics used in the live investment and trading process.
2. Closer to investment decisions — your work feeds directly into pre-trade analytics, RV opportunities, risk/P&L analysis and trade expression.
3. Broad quantitative mandate — combine Rates RV research, systematic strategies, derivatives pricing and risk rather than being restricted to a pure pricing or model-validation function.
4. Ownership of methodology — take ownership of the quantitative thinking behind models and analytics rather than simply implementing specifications.
5. Interesting Macro/RV problems — work across curve, spread, carry/roll and cross-market Relative Value alongside swaps, swaptions, FX and cross-currency products.
6. Research through to implementation — develop methodologies, prototype analytics and work with model quants/developers to bring them into production.

Interested in learning more? Please contact Katie Huang at katie.huang@bahpartners.com for a confidential discussion.