Quant jobs / Millennium

Quantitative Researcher – Rates

A quant role in Millennium's Fixed Income & Commodities Technology group, building the in-house cross-asset pricing and risk library. This post targets rates analytics for traders and portfolio managers.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Develop and maintain rates models in the shared pricing and risk library
Build curve construction and inflation modelling components
Deliver pre-trade, pricing and risk analytics for traders
Help explain P&L and risk to traders and PMs
Work with quants in London, Geneva and New York

What they ask for

Required

Pricing models for linear rates
Interest rate curve construction
Inflation modelling
Monte Carlo, finite differences or finite elements
Strong mathematics
Modern C++ (preferred)

Preferred

FX vanillas and exotics

Education: No degree level stated
Experience: Prior pricing and valuation model development for linear rates
Languages and tools: C++
Markets: fixed-income, fx, commodities, credit

How to prepare

Bootstrap a multi-curve discount and forward curve in code
Price swaps, swaptions and inflation-linked products
Implement a Monte Carlo and a finite-difference pricer and compare them
Learn how to explain a daily P&L move using risk sensitivities

What to study

The Rates Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on Millennium’s site before applying: requirements, location and pay can change after we check them.

View the posting on Millennium’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Millennium and doesn’t handle applications.