Quant Project Gauntlet 01: OIS/SOFR Curve (Graded Project)
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About this resource
Graded quant project. Not another PDF. You build an OIS/SOFR discount curve from par swap quotes, then submit your numbers and get scored against a reference implementation at 1e-6 relative tolerance. Hidden tests catch the errors you cannot see yourself. What you get Full candidate spec with fixed conventions (ACT/365F, continuous compounding, annual pillars) so grading is unambiguous starter.py — scaffolding done, one clearly marked TODO sample_tests.py — 8 public self-checks you run locally, including the decisive par-swap repricing check Graded scorecard: pass/fail per hidden test, score out of 100, and a hint on what broke The three ways candidates actually fail this, written out Interviewer follow-up questions on your own submitted numbers How grading works 100 points across 6 hidden checks.
You must pass all six — partial credit is reported so you know where you stand, but "mostly right" is not a passing curve. Failures return a hint, never the expected value, so the grader cannot be brute-forced. Measured against the real hidden tests: a correct implementation scores 100 and passes; a wrong day count (360 vs 365) scores 10 and fails; discrete instead of continuous zero rates scores 85 and fails.
Difficulty: Foundation · Effort: 3–6 hours · Language: Python How submission works right now: you email submission.json to hello@desk2quant.com with subject "Gauntlet 01 submission" and get a scorecard back, usually within one working day.
Instant automated grading is in development and every buyer gets it free when it ships. This is Project 01 of the Quant Project Gauntlet. Projects 02–08 (vol surface arbitrage, XVA on a netting set, market-making PnL, Bermudan LSM, model validation, basis hedging, slippage) are being authored.
Coupon: use GAUNTLET20 for 20% off. Disclaimer Educational and career-development material. Not trading advice, not a production library, and not a substitute for professional risk management. Datasets are synthetic or simplified where appropriate.
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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