Quant interview questions

43 questions · page 1 of 2 · Clear filters

• A corporate bond yields 250 basis points more than the matched Treasury.Markets and products · Foundation
• The ten-year nominal Treasury yields 4.2% and the ten-year inflation-protected…Markets and products · Foundation
• The two-year yield exceeds the ten-year. What is the market saying?Markets and products · Applied
• You pitch a long position because a company looks cheap on earnings.Markets and products · Applied
• Front-month crude trades at $70 and the next month at $72.Markets and products · Applied
• A crypto perpetual future is trading well above the spot index.Markets and products · Applied
• The policy rate is 4.50%.Markets and products · Applied
• In April 2020 the front WTI crude contract settled below zero. What made that possible?Markets and products · Advanced
• A ten-year zero-coupon bond yields 5% annually.Time value, rates and linear products · Foundation
• A project costs $100 today and pays $60 at the end of each of the next two years.Time value, rates and linear products · Foundation
• A bond pays a 6% coupon semiannually on $100 face.Time value, rates and linear products · Foundation
• You enter a swap paying fixed and receiving floating.Time value, rates and linear products · Foundation
• A commodity futures curve slopes upward.Time value, rates and linear products · Applied · Free solution
• A bond has modified duration 7.Time value, rates and linear products · Applied
• You hold $10 million of a bond at par with modified duration 7.Time value, rates and linear products · Applied
• What is the value of the floating leg of a standard interest rate swap…Time value, rates and linear products · Applied
• Spot is 1.10 dollars per euro, the one-year dollar rate is 5% and the euro rate is 3%.Time value, rates and linear products · Applied
• A $500,000 loan amortises over thirty years at 6% with annual payments.Time value, rates and linear products · Applied
• A commodity trades at $80.Time value, rates and linear products · Applied
• A three-year bond pays a 5% annual coupon on $100 face.Time value, rates and linear products · Applied
• A two-year bond pays a 10% annual coupon and yields 10%.Time value, rates and linear products · Applied
• The one-year zero rate is 4% and the two-year zero rate is 5%, both annually compounded.Time value, rates and linear products · Applied
• A plain fixed-coupon bond has positive convexity.Time value, rates and linear products · Applied
• Annual discount factors for years one, two and three are 0.97, 0.94 and 0.91.Time value, rates and linear products · Applied
• You bought a three-month FRA on $10 million at 4%.Time value, rates and linear products · Applied
• A ten-year swap on $100 million notional has an annuity factor – the sum of its…Time value, rates and linear products · Applied
• Under what condition are a futures price and a forward price on the same asset identical?Time value, rates and linear products · Advanced
• A bond has modified duration 7 and convexity 60.Time value, rates and linear products · Advanced
• You receive fixed at 4% on a five-year $100 million swap, struck at market.Time value, rates and linear products · Advanced
• Why does a mortgage-backed security exhibit negative convexity as yields fall?Time value, rates and linear products · Advanced
• The one-year zero rate is 4%.Time value, rates and linear products · Advanced
• When is the Bachelier, or normal, model preferred to Black and Scholes?Option pricing models · Advanced
• Using Black’s model, price a six-month at-the-money call on a futures contract…Option pricing models · Advanced
• A one-year at-the-money payer swaption has an annuity of 1 and a normal…Option pricing models · Advanced
• You must hedge a delta of 10,000 shares using a one-year futures contract on…The Greeks and hedging · Advanced
• What does the VIX index actually measure?Volatility · Advanced
• Is an arithmetic-average Asian call worth more or less than the equivalent vanilla?Exotics and structured products · Applied
• A desk sells autocallable notes to retail investors. What risk does it end up carrying?Exotics and structured products · Advanced
• Two assets each have 30% volatility and correlate at 0.5.Exotics and structured products · Advanced
• You run PCA on yield-curve changes across maturities. What is the first component?Linear algebra · Applied