I've got a job interview coming up for a front-office role involving "Tactical Real-Time Pricing Application Development and Support" and I was hoping someone could give me a better idea as to what topics they're likely to probe me on?
The desk prices IRDs (mainly swaps and swaptions).
I've been a RAD developer for a few years now but haven't had much exposure to:
1. Bloomberg/Reuters/etc APIs
I've had some exposure, but it's purely been pulling data into a Variant, manipulating and outputting to a worksheet. This job will involve both push and pull. Is there much to publishing (ie. pushing) from VBA to Bloomberg? I believe the Bloomberg API comes with Events. What are the typical events to consume in VBA?
2. Event-driven programming
I've used the built in worksheet events before, viz. Worksheet_Change, and coded some simple classes that have their own events (Public Event...) but I'm not sure how much of this stuff is used in front-office. Is it usually only for incoming data updates (eg. Bloomberg feeds) that flow into user spreadsheets?
I'm pretty comfortable with the Excel Object Model in that I know 99% of what I need to know to get my current job done and I can quickly find the answers to any new problems/objects that present themselves (that's been my experience so far), but how much do employers place on knowing the object model vs. being able to quickly develop good algorithms and code them well (so that they're easily supportable)?
I've been coding in C# for the past few months and I've written some .NET COM objects that I've brought into Excel (via a VBA 'Reference' and/or Automation Add-In) in order to speed up calculations.
I've got good product knowledge (I have an MSc in Financial Mathematics and know a few pricing models) and I've built many VBA applications in the past (eg. Binomial Lattices, Finite Difference Grids, Multivariate MonteCarlo).
Any help will be appreciated.
Cheers
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