Manager

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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 Great 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 environment will be an advantage.