Engineer

As a graduate in the engineering department, you will collaborate with some of the market’s brightest minds and have the opportunity to make an impact on meaningful projects, including designing and enhancing Quantile’s services and analysing the results.

Quantile’s services can be expressed mathematically as solutions to constrained convex optimisation problems. You will work on converting real world financial data to solve such problems, ultimately delivering clients a set of actionable trades which can be used to optimise their portfolios. Our technology stack is predominantly JavaScript and Python and runs on the public cloud.

The Strats team is responsible for designing, building and maintaining the algorithms at the heart of the Quantile services. This typically involves creating a model for a linear of convex optimization problem and interpreting the solution of that problem as a set of financial transactions that should be executed to improve some aspect of a derivatives portfolio. While we use a commercial optimization library for the optimization itself, the scale of the problems that we encounter mean that we are on the leading edge of what today’s software can handle and so we need to have a deep understanding of the behavior of the algorithms.

The successful candidate will work as part of a small team of 5-7 strats to build and research improvements to the Counterparty Risk engine. They will work directly with the Product Development team to enhance the product, based on feedback from clients and analysis of runs, as well as on strategic projects. Examples of possible projects include:

• Develop new scaling scheme to improve reliability and performance
• Use the solution of our current MIP optimizer as a starting point to a non-linear solver. This would allow greater flexibility in the solutions we propose.
• Investigate how sensitive the solution is to small changes in the data to understand which constraints we should relax for maximum impact
• Introduce new variables in the optimizer to allow variable hedge rates in our proposals
• Improve the runtime performance by investigating and adding heuristics to reduce the data set and solution search space
• Develop new functionality to better validate incoming risk data prior to optimization.  

Desired skills:

• Solid understanding of python for numerical programs. In particular, familiarity with pandas and numpy
• A strong mathematical background (numerical methods, linear algebra, probability & statistics)
• Understanding of linear programming, mixed integer programming and convex optimization
• Knowledge of Interest Rate Swaps
• Excellent problem-solving skills

LSEG is a leading global financial markets infrastructure and data provider. Our purpose is driving financial stability, empowering economies and enabling customers to create sustainable growth.

Our purpose is the foundation on which our culture is built. Our values of Integrity, Partnership, Excellence and Change underpin our purpose and set the standard for everything we do, every day. They go to the heart of who we are and guide our decision making and everyday actions.

Working with us means that you will be part of a dynamic organisation of 25,000 people across 65 countries. However, we will value your individuality and enable you to bring your true self to work so you can help enrich our diverse workforce. You will be part of a collaborative and creative culture where we encourage new ideas and are committed to sustainability across our global business. You will experience the critical role we have in helping to re-engineer the financial ecosystem to support and drive sustainable economic growth. Together, we are aiming to achieve this growth by accelerating the just transition to net zero, enabling growth of the green economy and creating inclusive economic opportunity.

LSEG offers a range of tailored benefits and support, including healthcare, retirement planning, paid volunteering days and wellbeing initiatives.

We are proud to be an equal opportunities employer. This means that we do not discriminate on the basis of anyone’s race, religion, colour, national origin, gender, sexual orientation, gender identity, gender expression, age, marital status, veteran status, pregnancy or disability, or any other basis protected under applicable law. Conforming with applicable law, we can reasonably accommodate applicants' and employees' religious practices and beliefs, as well as mental health or physical disability needs.

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