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Thursday, July 1, 2010

UBS emerging market credit/rates - C++, Perl, java

Say your perl program needs to create 15 concurrent child processes,
Q: How do you wait for all children to finish?

Q: how do you call c from java?

Q: How do you connect your (perl) STDIN to a child process?

Q: what does a credit spread mean?

Q: how do you price an interest rate swap?

Q: strengths of java vs c++?

Q: Challenges of multithreading?
A: one feature of java can restrict the number of threads to a number smaller than the number of processors. Can't name that feature.

Q: How do you create a deep copy of a List where each element could be an Integer, Float ...?

Q: Say a master thread puts objects (like tasks or ...) into a shared collection, and work threads pick them up and put results objects into a shared place. How do you ensure data integrity/consistency.
A: the collection has to be thread safe, but all the inside objects need to be guarded too. Any shared object (including the inside objects) need to be guarded.

credit desk -- CDS, corp bonds, MBS
rate desk -- IRS, treasuries
excel VBA, c#
c++ is used by quants but not really others.