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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 effective 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 ve

📌 Manager (Gurugram)
🏢 Weekday AI
📍 Gurugram