The foreign exchange derivatives team is responsible for overseeing a wide range of activities related to exchange rates. This includes managing both the front and back-office operations, which involve managing transactions lifecycles. Additionally, the team is taking in charge the market parameters interpolation, a crucial aspect of accurately assessing market conditions. Furthermore, the team plays a pivotal role in designing evaluation models that help analyze and value various financial instruments.

They are also responsible for devising risk management strategies to safeguard against potential market fluctuations and uncertainties, ensuring the overall stability of the portfolio. Another essential function of the team is pricing, which involves determining fair values for foreign exchange derivatives.

This includes considering various factors, such as market conditions, volatility, and interest rates, to arrive at competitive pricing structures. In summary, the foreign exchange derivatives team’s responsibilities encompass transaction management, market parameter interpolation, evaluation model design, risk mitigation, and pricing, all of which are critical for effective foreign exchange operations.

Missions:

1-  Refactoring of the foreign exchange product pricing module:

The team is currently involved in a comprehensive refactoring effort for the foreign exchange product pricing module. This task involves a thorough restructuring and optimization of the existing codebase. The primary goal of this refactoring is to enhance the efficiency, maintainability, and overall performance of the module. This includes streamlining complex algorithms, improving code readability, and addressing any technical debt accumulated over time. By refactoring the pricing module, the team aims to ensure that it operates smoothly and efficiently, providing accurate pricing for foreign exchange products.

2-  Implementation of unit tests to reduce the feedback loop for this module:

Another critical initiative undertaken by the team is the implementation of unit tests for the pricing module. Unit tests are designed to rigorously assess the functionality of individual components or units of code within the module. By introducing unit tests, the team aims to create a faster and more reliable feedback loop. This means that any potential issues or bugs in the pricing module can be detected and addressed at an early stage of development, reducing the time and effort required for debugging and troubleshooting. Ultimately, the implementation of unit tests helps ensure the stability and robustness of the pricing module, leading to more efficient and error-free foreign exchange product pricing.

Degree: master’s degree in engineering.

« Mandatory » skills:

·       C++ technical skills

« Nice to have » skills:

·       Financial skills

Duration : 6 months from March 2024