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XCCY Swap Pricer Risk Free Rates Extension

Origin is looking for an experienced rates quant to extend our existing XCCY swap pricer to support the new risk free rates (SONIA, SOFR, €STR, TONAR and SARON). Experience with xccy swaps, OIS pricing and bootstrapping is required, as well as a good understanding of the challenges of LIBOR transition.

Our existing pricer built on top of Quantlib Python supports xccy swapping for the G10, SGD, HKD and CNH. We have real-time streaming data feeds from an interdealer broker covering the required instruments.

Our user acceptance criteria is being within 1 bps difference versus the Bloomberg SWPM.

We envisage this being a fixed-term contract, fully remote.
We pay very competitively.
 
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