Manager

Weekday AI (YC W21); Gurugram District; On-site; INR 4,000,000 - 6,000,000; Full time

Job summary

Weekday AI (YC W21) in Gurgaon, India, is seeking an experienced Quantitative Developer with strong C++ and Python skills to build high-performance pricing, risk, and PnL systems for interest rate derivatives.

The role focuses on translating complex pricing and risk requirements into production-ready software, collaborating with analysts, traders, and technology teams across locations. 4+ years of experience required, full-time on-site role in Gurgaon.

Qualifications

• 4+ years of professional C++ development in quantitative finance.
• Strong understanding of interest rate derivatives (swaps, swaptions, caps/floors).
• Experience with yield curve construction, bootstrapping, and multi-curve frameworks.
• Proficiency in Python for tooling and automation.

Responsibilities

• Design, develop, and maintain high-performance C++ components for pricing, risk, and PnL calculations.
• Implement quantitative solutions for IRD products including swaps and swaptions.
• Develop yield curve construction engines and multi-curve frameworks.
• Build and maintain Python tooling for testing, data analysis, and workflows.
• Collaborate with quantitative analysts, traders, and tech teams to translate requirements into production systems.
• Ensure code quality with reviews, tests, documentation, and version control.

Skills

C++

Python

Quantitative finance

Interest rate derivatives

Job description

Job Description:

This role is for one of the Weekdays clients

Salary range: Rs 4000000 - Rs 6000000 (ie INR 40-60 LPA)

Experience: 4+ yrs

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

Job Type: Full-time

We are looking for an experiencedQuantitative Developerwith strong expertise inC++, Python, quantitative finance, and interest rate derivativesto 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 asinterest 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.

Key Responsibilities

• Design, develop, and maintain high-performanceC++ componentsfor pricing, risk, and PnL calculations.


• Implement quantitative solutions forswaps, swaptions, caps/floors, cross-currency swaps, basis swaps, and structured IRD products.


• Develop and optimizeyield 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 maintainCSA and collateral calibrationcomponents, 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 fortest 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 coveringcode 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 escalation 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 ofinterest rate derivatives, including swaps, swaptions, caps/floors, cross-currency swaps, and basis products.


• Strong understanding of pricing concepts such aspar rates, forward rates, discount factors, annuities, and yield curves.


• Hands‑on experience withyield curve construction and bootstrapping.


• Understanding of multi-curve frameworks, OIS discounting, and IBOR/RFR projection.


• Familiarity withCSA 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 ofPythonfor scripting, automation, testing, data analysis, and tooling.


• Strong mathematical foundation coveringprobability, 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 ofGit, 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.