Swap Curve Quant Interview Guide
Swap curve quant interview guide covering par rates, discounting, forwards, curve construction, spreads, and examples.
Candidates preparing for rates trading, structuring, or risk roles.
The swap curve comes from swap rates
A swap curve is built from market swap rates across maturities and is used for rates valuation, relative value, and risk analysis.
It is not the Treasury curve
Swap curves and Treasury curves reflect different instruments, collateral, credit, liquidity, and supply-demand effects. Spreads between them can move.
Concrete example
A five-year swap rate can be interpreted as the fixed rate that balances expected floating payments and discounting for that maturity.
Construction requires conventions
Payment frequency, day count, calendars, interpolation, projection curves, and discount curves all affect practical swap curve construction.
Common mistakes
Candidates often say a swap curve is just a yield curve. A better answer states the instruments and assumptions behind the curve.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.