IV - local volatility - OCBC

Q: tell me 1 or 2 low-latency challenges in your projects.
Q: what's a variance swap?
Q: what's your favorite messaging vendor product? (MQ is firm standard but too slow for this team.)
Q: Where do you get your implied vol numbers? From exchange or you do your own inversion? (I guess exchanges do publish quotes in vol.)
Q: how many tenors on your vol surface?
Q: how do you model term structure of vol?
Q: how do you perform interpolation when you query the vol surface?
Q: you mentioned various vol models (taylor, cubic etc) but how do you decide which model to use for each name?
Q: describe BS equation in simple language, and what are the inputs?
Q: FX vol is delta sticky. On X-axis you see 25 delta, 10 delta, atm vol etc. How about eq?
Q: any example of structured vol products?
Q: what's dv01?
Q: which asset class are you most comfortable with?
Q: in your systems there are often multiple languages. How do you make them interoperable?
Q: what's java generic?
Q: value type vs reference type in c#
%%Q: who will validate the prices and decide if it's a reasonable or valid price?
A: traders. Even though they aren't fully trained as quants are. Some managers also have pricing knowledge. Perhaps no real quants.
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Q1: what's fwd vol vs local vol?
Q: you said variance is additive? Can you elaborate?
Q: have you heard of total variance?
Q3: what's put-call parity?
%%A: C + K = P + F. Each of the 4 can be synthesized using the other 3

Q3b: can you show me one synthetic portfolio, say a synthetic long call?
Q: Can you explain PCP in terms of deltas?

Q: you mentioned code bloat due to c++ templates, so how does c++ deal with that?
Q: have you heard of c++ strong exception guarantees vs basic exception guarantees?
A: http://en.wikipedia.org/wiki/Exception_guarantees

Q: how does java generic differ from c++ and c# -- take a hashmap for example?
Q: c# hashmap of integer? Is it special?
Q: you mentioned java hashmap of integer involves autoboxing, so what happens during autoboxing?
Q: What smart pointers have you used?
Q: if i were to use a smart pointer with my legacy class, do I have to modify my class?

Q7: you mentioned java generic was designed for backward compatibility, but why not add a new type HashMap<K, V> in addition to the old non-generic HashMap class?
%%A: old and new must be interoperable

Q7b: what do you mean by interoperable?

Q: tell me one project with low latency

-- some answers revealed --
A1: local vol is designed to explain skew. During the diffusion, instantaneous vol is assumed to be deterministic, and a function of spot price at that "instant" and TTL.

I guess what he means is, after 88 discrete steps of diffusion, the underlier could be at any of 888888 levels (in a semi-continuous context). At each of those levels, the instantaneous vol for the next step is a function of 2 inputs -- that level of underlier price and the TTL.

A3: easiest way is "call premium - put premium == fwd price" (cash amount to be added to LHS?)