screening interview: "open ended analytical problem"?

[Plotnus]

Hello All,

For a thirty minute screening interview I was told that I would be thinking through an "open ended analytical problem". I'm not quite sure what an "open ended analytical problem" is. I just think it's a problem you can analyze but has no answer. Do you know what one is and do you have any examples?

 

[KillingField]

How do you price a cash settled swaption?

 

[vertigo]

How do you price a cash settled swaption?

That is not an open ended question. Ask any exotics rates trader, or one that trades in the swaptions market, and they will tell you the market standard model (hint: Piterbarg has a paper on it) for cash settled swaptions.

However, it is a good interview question for a fixed income trader/quant/risk manager role- understanding the cash annuity (as opposed to physical annuity) is important.

 

[KillingField]

That is not an open ended question. Ask any exotics rates trader, or one that trades in the swaptions market, and they will tell you the market standard model (hint: Piterbarg has a paper on it) for cash settled swaptions.

However, it is a good interview question for a fixed income trader/quant/risk manager role- understanding the cash annuity (as opposed to physical annuity) is important.

I'm referring to the ZWC wave of papers, and I don't think Piterbarg has weighed on the issue. There are several others, though, who have, all with different models which to me makes it open-ended.