Your Responsibilities:
As a < Quant Developer>, your key responsibilities will include:
● Delivery of C++ code for pricing, risk, and PnL components within the
strategic rates platform — covering swaps, swaptions, caps/floors,
cross-currency swaps, basis swaps, and structured IRD products
● Design, develop, and optimise yield curve construction engines —
bootstrapping, multi-curve frameworks (OIS discounting, IBOR/RFR
projection), interpolation and curve fitting
● Build and maintain CSA calibration components — cheapest-to-deliver
collateral modelling, driver curve attribution
● Contribute to systems implementation of the models
● Write Python tooling for test automation, regression validation, data
analysis, and build infrastructure
● Work with front office traders and quant analysts to translate business
and model requirements into clear technical solutions
● Contribute to systems implementation of mathematical models for
pricing and risk management
● Ensure coding standards and procedures are followed — code review,
unit testing, documentation
● Awareness of operational risk issues in a production trading environment
● Collaborate across distributed teams (India and London), taking
end-to-end ownership of project deliverables
● Build, safeguard, and uphold the reputation of NatWest Group across all
stakeholders
● Comply with all NatWest policies, regulatory obligations, and conduct
standards
● Proactive identification and escalation of conduct and operational risks
The Skills you’ll need
In order to be successful in this role, you must have the following skills &
experience:
● 5–8+ years of professional C++ development experience in a
derivatives pricing or quant development environment
● Strong understanding of interest rate derivative products — swaps,
swaptions, caps/floors, cross-currency, basis products — and their
pricing mechanics (par rates, forward rates, discount factors, annuities)
● Hands-on experience with yield curve construction — bootstrapping
● Familiarity with collateral/CSA modelling — how cheapest-to-deliver
optionality drives discount curve construction, driver curve calibration
● Good working knowledge of Python — scripting, automation, data
analysis, test frameworks
● Strong mathematical background — probability, stochastic calculus,
numerical methods
● Solid OO design skills with emphasis on performance in
numerical/computational code
● Familiarity with large codebases, version control (Git), and build
systems (CMake, Visual Studio)
