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Experience: 4+ yrs

Location: Gurgaon, Haryana, India, Gurugram, Haryana, India

Job Type: Full-time

We are looking for an experienced Quantitative Developer with strong expertise in C++, Python, quantitative finance, and interest rate derivatives to develop high-performance pricing, risk, and PnL solutions for financial markets.

The role focuses on implementing and optimizing quantitative models and computational components for products such as interest rate swaps, swaptions, caps/floors, cross-currency swaps, basis swaps, and structured interest rate derivatives.

The ideal candidate will combine strong software engineering skills with a solid mathematical and financial markets foundation. You will work closely with quantitative analysts, traders, and technology teams to translate complex pricing and risk requirements into robust, production-ready systems.

Requirements

Key Responsibilities

- Design, develop, and maintain high-performance C++ components for pricing, risk, and PnL calculations.
- Implement quantitative solutions for swaps, swaptions, caps/floors, cross-currency swaps, basis swaps, and structured IRD products.
- Develop and optimize yield curve construction engines, including bootstrapping and multi-curve frameworks.
- Implement OIS discounting and IBOR/RFR projection methodologies.
- Develop curve interpolation, fitting, calibration, and numerical optimization components.
- Build and maintain CSA and collateral calibration components, including cheapest-to-deliver collateral modelling and driver-curve attribution.
- Translate mathematical and quantitative models into efficient production-ready software.
- Contribute to pricing and risk-management model implementation and system architecture.




- Develop Python tooling for test automation, regression testing, data analysis, and development workflows.
- Build automated validation frameworks to verify pricing, curve construction, and risk calculations.
- Work closely with quantitative analysts, traders, and other stakeholders to translate business requirements into technical solutions.
- Optimize numerical and computational code for performance, scalability, and reliability.
- Follow software engineering standards covering code reviews, unit testing, documentation, version control, and build processes.
- Troubleshoot complex pricing, risk, data, and production issues and perform root-cause analysis.
- Maintain awareness of operational and technology risks within a production trading environment.
- Collaborate effectively with distributed engineering and quantitative teams across locations and time zones.
- Take end-to-end ownership of assigned projects and deliverables from design through production implementation.
- Identify and escalate operational, technical, and conduct-related risks appropriately.
- Ensure solutions adhere to applicable engineering, regulatory, security, and operational standards.

What Makes You a Excellent Fit

- 4+ years of professional experience, with strong hands-on C++ development experience in quantitative finance, derivatives pricing,



risk, or a similar environment.
- Strong understanding of interest rate derivatives, including swaps, swaptions, caps/floors, cross-currency swaps, and basis products.
- Strong understanding of pricing concepts such as par rates, forward rates, discount factors, annuities, and yield curves.
- Hands-on experience with yield curve construction and bootstrapping.
- Understanding of multi-curve frameworks, OIS discounting, and IBOR/RFR projection.
- Familiarity with CSA and collateral modelling, including collateral optionality and driver-curve calibration.
- Strong C++ skills with experience developing performance-sensitive numerical or computational applications.
- Good working knowledge of Python for scripting, automation, testing, data analysis, and tooling.
- Strong mathematical foundation covering probability, stochastic calculus, numerical methods, and quantitative modelling.
- Solid object-oriented design and software engineering skills.
- Experience working with large-scale C++ codebases and complex computational systems.
- Strong knowledge of Git, CMake, Visual Studio, and modern software development workflows.
- Experience with unit testing, regression testing, code reviews, documentation, and production support.
- Strong analytical and problem-solving skills with attention to numerical accuracy and performance.
- Ability to communicate effectively with traders, quantitative analysts, software engineers, and other stakeholders.
- Strong ownership mindset and ability to work effectively across distributed teams.
- Experience in a regulated financial-services or trading setting will be an advantage.

📌 Manager (Gurugram)
🏢 Weekday AI
📍 Gurugram