Luxoft is a global leader in high-end software development.
Luxoft is looking for talents with a passion for technology & ready to create original solutions. Once on board, you are invited to expand your knowledge & skills, offering you a continuous learning experience helping you stretch your potential.
So if you’re enthusiastic by the idea of accessing cutting edge technology & innovation to make an impact, why don't you join us?
RTBS Based Inbound market data feeds
Definition and management of cache pages, activity feeder subscription rules etc for Market Data
Definition and management of market data clean-up in the database
Definition and management of Market data EOD Scripts
Definition and management of Fixings scripts
Definition and management of Fixing Import script
Configuration of pricing curves within Murex, Maturity Sets, Curve point instruments, generators
Configuration of plumbing needed to use those curves for risk and PnL in Murex
GMP definition and feeds
Market Data Entitlements using DACS
Support integration of Flex by Flex/quant team
MX Skills Required:
General Murex front office usage, trade booking
Livebook configuration
Simulation configuration
Pricing and Hedge curve configuration
Configuration of generators
Murex cache, how to use configure, write to and read from
RTBS configuration and support of feeds into RTBS
Understanding or capability to learn scripting calls to Murex APIs, particularly:
- MDCS API
- MDRS API
- Trade Repository API
- SPI
Detailed Understanding of MX services and how they interact, capability to investigate environmental issues
Prior experience, or the potential to learn the domain knowledge that is required. Efficient, high performing Murex build of this type only occurs when a strong grasp of the domain is present, - see business knowledge section below
Business Knowledge:
Prior experience, or the potential to learn significant domain knowledge relating to the financial products, risk measures and market data within FX, Rates and Credit. Efficient, high performing build and test of this type only occurs when a strong grasp of the domain is present, for our team that means:
Basic nomenclature, what are maturity dates, knot points, curves, instruments, indices, tenors, observables
Basics of Interest rates, what are they, forward rates discounting of future cash flows
Cross currency swaps, XCCY Basis
IR Curves, what are they used for, importance of interpolation
Tenor - 3M Libor is different from 6M Libor, and how that leads to a 3M and 6M curve. Tenor basis risk.
OIS curves and funding, CSA discounting, collateralization
IR Products basics, how an IR swap works
Credit default swaps and Credit curves, what they are and how they are used. Recovery. Default events. Different types of credit curve. Credit indices. Credit Index options. Credit volatility surfaces
Bonds and bond prices, yield, z-spread, static data, callable bonds
Bond futures, Eurodollar futures, prices, CTD, convexity adjustment, conversion factor
FX Spot rates, FX Trades
IR and FX Option trades, Volatility surfaces
Inflation swaps and index linked bonds, inflation market data. Seasonality
The Murex Risk and Market Data stream has a need to be able to configure parts of the Murex system relating to the consumption of market data streams , the management of market data and curves inside of Murex, and the generation and presentation of risk and PnL and RSBPL.