Took an onsite exam in Feb. 2016, and after two weeks received invitation to onsite interview for the corporate treasury(CT) group and the mortgage backed securities(MBS) group. A phone interview from the CT group was still added before the onsite as there was not enough time within a single day. The questions were on backward induction, risk-neutral pricing on a binomial model, basic C++ concepts, and solving a Feynman-Kac PDE. The onsite was then mainly with the MBS group, with questions ranging from positive-definite correlation matrix, univariate linear regression, algorithm of finding a pair adding up to a certain value in a array, C++ concepts, Bayesian inference, important sampling, complex derivative pricing, market-sizing (How many housing deals per year in US?) to even behavioral (what's your biggest achievement and why should I employ you?). Interviewers are mostly friendly. However, the final rejection was sent via an automated email with a few sentences, which was (surprisingly) unprofessional.