Fixed Income Math & Bond Pricing -Yield math · Duration/convexity · Bootstrapping · Bond futures · OIS vs LIBOR · The multi-curve world
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About this resource
Fixed Income Math & Bond Pricing — Quant Interview Guide
- Most quant candidates can talk about Black-Scholes but stumble the moment an interviewer asks:
- "What is the difference between a spot rate, a par rate, and a forward rate?"
- or "Why does your desk use OIS discounting instead of LIBOR?"
This guide closes that gap completely.
What this guide covers
- A 60-page, exam-ready, LaTeX-typeset PDF covering every concept a quant analyst, rates strats,
- structuring, or risk candidate needs — from absolute first principles to the hardest questions
asked at Goldman Sachs, JPMorgan, Barclays, Citadel, and UBS.
15 fully self-contained modules
- | | Module | Key Concepts |
- |---|--------|-------------|
- | 1 | Fixed Income Market Reality | Bond structure, conventions, accrued interest, dirty vs clean price |
- | 2 | Bond Pricing Fundamentals | DCF, discount factors, compounding conventions, YTM |
- | 3 | Yield Mathematics | Spot rates, forward rates, par rates — the four-rate triangle |
- | 4 | Duration & Convexity | Macaulay, modified, DV01 ladder, key-rate duration, butterfly trades |
- | 5 | Yield Curve Construction & Bootstrapping | Bootstrap algorithm, Nelson-Siegel, interpolation pitfalls |
- | 6 | OIS vs LIBOR — The Multi-Curve Framework | SOFR transition, CSA discounting, why LIBOR died |
- | 7 | Bond Futures, CTD & Repo | Conversion factor, CTD optionality, special repo, basis trades |
- | 8 | Credit Spreads & Risky Bond Pricing | Hazard rates, survival probability, CDS, Z-spread, OAS |
- | 9 | Inflation-Linked Bonds & Real Rates | TIPS mechanics, Fisher equation, breakeven vs expected inflation |
- | 10 | Interview Toolkit — Top 20 Q&As | Full worked answers to the hardest desk questions |
- | 11 | MBS & Prepayment Models | PSA/CPR, S-curve, burnout effect, negative convexity, OAS via MC |
- | 12 | Interest Rate Options | Black caplet/swaption, SABR, shifted Black, vol risk premium |
- | 13 | Short-Rate & Term Structure Models | Vasicek, Hull-White, LMM/BGM, when to use each |
- | 14 | India G-Sec Market | RBI policy chain, SLR/CRR, JPMorgan index inclusion, auctions |
- | 15 | Risk Management & PnL Attribution | DV01 hedging workflow, VaR failures 2022, stress testing |
Every module includes
- Core Formula boxes — the exact equations used on real desks
- Practitioner Insights — how traders and quants actually think about each concept
- Hidden Gem sections — novel angles most candidates have never seen
- 3-second answer frameworks — how to open any answer and immediately impress
- Quick cheat sheets — print-ready summaries for last-minute revision
- Common traps — the exact mistakes that get candidates cut in round one
Who this is for
- Quant analyst & quant researcher candidates
- Rates, credit, and structured products desk interviews
- Strats, structuring, and model validation roles
- MFE, MBA, and CFA candidates with a quant focus
- Anyone preparing for Goldman Sachs · JPMorgan · UBS · Barclays · Citadel · Nomura
What makes this different
- Most fixed income textbooks teach theory. This guide teaches what desks actually care about —
- the precise language, the right model for the right product, and the failure modes that reveal
whether you have real experience or just book knowledge.
- You will learn why:
- YTM is not the same as expected return — and what the correct answer is
- LIBOR discounting is a career-ending answer in 2025 — and what replaced it
- Bootstrapping is not interpolation — and why the difference matters for pricing
- Forward rates are not forecasts — and what they actually tell you
- Breakeven inflation overstates expected inflation by 20–50bp — and why
What you get
- Instant digital delivery by email after purchase
- Written by a practising quantitative risk modeller
- Desk-focused material, not textbook theory
Delivery & refunds
Access is delivered by email immediately after payment. See our refund policy, terms and privacy policy.
Frequently asked questions
How is Fixed Income Math & Bond Pricing -Yield math · Duration/convexity · Bootstrapping · Bond futures · OIS vs LIBOR · The multi-curve world delivered?
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Who is Fixed Income Math & Bond Pricing -Yield math · Duration/convexity · Bootstrapping · Bond futures · OIS vs LIBOR · The multi-curve world designed for?
It is designed for quantitative-finance candidates and practitioners who want desk-focused explanations, practical diagnostics and interview-ready reasoning.
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