Quant Interview Fixed Income Final Drill
Final fixed-income drill for quant interviews covering bond pricing, yield curves, duration, convexity, swaps, repo, credit, and rates risk.
Candidates reviewing rates and fixed-income concepts for quant interviews.
Price cash flows explicitly
Bond and rates prompts start with cash flows, discounting convention, day count, and curve choice. Do not skip conventions when they affect the answer.
Read the yield curve as assumptions
A curve embeds maturities, instruments, interpolation, and market expectations. Explain which rate applies to the cash flow or hedge being discussed.
Use duration and convexity together
Duration gives first-order rate sensitivity, while convexity describes curvature. Both are approximations whose usefulness depends on move size and instrument structure.
Include funding and credit where relevant
Swaps, repo, credit spreads, collateral, and funding assumptions can dominate simple yield calculations. Mention them when the prompt leaves room.
Common mistakes
Candidates often apply one yield mechanically. Strong fixed-income answers specify curve, convention, cash flows, sensitivity, and omitted risks.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.