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Discover your future at CitiWorking at Citi is far more than just a job. A career with us means joining a team of more than 230,000 dedicated people from around the globe. At Citi, you'll have the opportunity to grow your career, give back to your community and make a real impact. Job OverviewAre you a strategic and highly skilled Quantitative Analyst with a recognized technical authority in Interest Rate Derivatives? Citi is seeking an experienced professional to join our team, working closely with Trading, Sales, Structuring, and Risk & Control Functions. This pivotal role involves contributing to directional strategy and applying your expertise to pricing model development within our strategic Interest Rate analytics library. Team/Role Overview:This role is for an Interest Rate Derivatives Quant, reporting directly to the Global Head of Non-Linear Interest Rates Quants. You will be a key contributor to the development of our strategic Interest Rate analytics library, which is essential for supporting pricing and risk management activities across the business. Your work will involve close collaboration with a wide array of internal stakeholders, including trading desks, structurers, sales, and various risk and control functions, ensuring robust and compliant solutions. What You'll Do: Develop and enhance analytics libraries used for pricing and risk management of Interest Rate Derivatives.Create, implement, and support quantitative models for the trading business, leveraging a wide variety of mathematical and computer science methods and tools. This includes advanced calculus, C++ (including STL), C#, .NET, Java, object-oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/programming, and statistics and probability, potentially incorporating hardware acceleration.Develop sophisticated pricing model