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
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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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