Question: In what particular situation you will need a depth knowledge of math/physics in software engineering?

Answer: 
To answer your question: you will need good maths and physics if you are writing scientific (well, physics-type scientific) and engineering programs. For more general purposes good maths is better than bad maths but bad maths is often enough and physics may be totally irrelevant. Good maths is a question of topic (eg graph theory more useful than real analysis, arithmetic more useful than topology) and depth of knowledge.
Programming is basically thinking in an organised way about a problem. Math and physics are fields where you need to think pretty clearly too. So if you know some math, it will be useful to you because you'll have learned how to structure problems and solve them.

As for specific mathematical concepts, math is such a wide field that whatever specialised topic you might end up programming, you'll have to pick up a book and learn it. For instance, I did an engineering course with loads and loads of physics and math, but I had to learn all the financial mathematics when I started work, because that kind of thing is pretty specialised. But not hard to learn if you're used to thinking in an organised way.