For a stock, the spot price is 100, Volatility is zero and the risk free interest rate is 5%.
What's the price of the 1 year at the money call option ?

What is a bond ?

What is an interest rate swap ?

What is an Asset Swap ?

What is a better measure of the relative value of a bond ?
.. Yield or Asset Swap Spread ?

What has a higher duration, a 10y 5% coupon bond, or a 5y 10% coupon bond ?

Name as many things you can think of that might affect the price of an interest rate swap.

Zero Coupon Bonds Question Part1:

You are a trader, and you buy a 5y Zero Coupon Bond today.

What's the accrued interest ?
What's the duration ?
Interest rates go up, do you make or lose money ?
What would you pay for it ?
How much do you make or lose if the continuously compounded zero curve shifts upwards by 1 basis point ?

Zero Coupon Bond Question Part2:

You sell a 10 year zero coupon bond to add to your portfolio.

What happens if yield curve flattens ?
.. Do you make or lose money ?
What has higher convexity ?
How much of the 10 year zero coupon bond would you sell in order to be immune to a 1 basis point parallel shift upwards or downwards in the continuously compounded zero curve ?

What is RISK ?

... this is a great question, and worth asking to CEOs of major investment banks cos they clearly don't understand it. I guarantee they get it wrong.

Name 5 types of risk a Bank might have to manage.

What is credit risk ?

How would you Bootstrap a Yield Curve ?

What is a Discount Factor ?
Describe the shape of a Discount Factor curve.
What's the difference between a zero coupon bond price and a discount factor ?

What's the riskiest part of the yield curve ?

What is Interpolation ?
What are the different ways commonly used to Interpolate ?

What is meant by Bond Rich / Cheap Spread ?
- How do you work out whether a bond is rich or cheap ?