Harvard University Interview Question: How could you quickly decide when to exercise a Bermudan receiver swaption?

Skip to content Skip to footer

Community
Jobs
Companies
Salaries
For Employers

Notifications

Harvard University

Harvard University Quant Developer interview

Harvard University Interview Question

Quant Developer Interview

How could you quickly decide when to exercise a Bermudan receiver swaption?

Interview Answer

Anonymous

Oct 6, 2009

Consider for each exercise date the effective rate over the tenor of the swaption taking into account the prevailing rate up to the exercise date and the strike rate. Would it be advantageous to wait or exercise?

Harvard University interviews

Harvard University

Harvard University Interview Question

Interview Answer

Want the inside scoop on your own company?

Bowls

Followed companies

Job searches