Avantages
The viewpoint obviously depends on your team, manager, department and projects. There is an interesting and relatively rich underlying business logic to deal with (structured products and all aspects of their management), whereby a key challenge consists in the continual evolution of relatively large and critical legacy systems in an efficient manner. On the more technical side, most of the code is written in Scala here, which is the main reason why some developers stay in the company. They have a passion for clean code, functional programming and, overall, "advanced" topics in this area, which means developers find like-minded people to learn from. Leonteq is still a small company with a startup-like atmosphere and human size, and nice offices in prime locations. I found that many people make themselves available when needed (e.g. to answer questions), despite being busy and under pressure.
Inconvénients
Leonteq has evolved quickly and organically, which led to an accumulation of "accidental complexity" with a lot of time spent dealing with issues, with a culture of tactical solutions, quick fixes and exception handling.