Yield Curve Quant Notes & Lab — SOFR, Bootstrapping, Curve Risk & PCA (134 pages + 3 real-data projects)
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About this resource
Build the curve a rates desk relies on every day — from SOFR fixings and conventions through bootstrapping, interpolation and multi-curve discounting to DV01, hedging, P&L explain and PCA — on 20 years of real Treasury and SOFR data. This Desk2Quant pack contains 134 pages of playbook-style notes across 20 modules (plain-English intuition, core equations, worked dollar examples, desk reality and interview traps, 19 runnable Python labs, 64 interview Q&As and 18 worked problems) and a 3-project Yield Curve Quant Lab built on Federal Reserve H.15 Treasury curves (2005–2026) and New York Fed SOFR data (2018–2026).
Projects: (1) Treasury curve desk: 5,461 daily curves bootstrapped under four interpolation rules plus Nelson-Siegel-Svensson, with repricing checks, a data-quality log, forward diagnostics and the ripple test across 20 years; (2) SOFR from overnight fixings to an OIS curve: compounding in arrears, the published SOFR Index and 30/90/180-day Averages rebuilt exactly, lookback, observation shift, lockout and payment delay on real quarters, and an OIS curve with FOMC meeting-date steps from illustrative swap quotes; (3) Curve risk, hedging and P&L: PCA of daily curve moves by regime, bucket DV01 by bump-and-rebuild vs Jacobian, a backtest of DV01, two-bucket, three-bucket and PCA hedges, steepener and butterfly carry/roll-down attribution, historical stress replays and daily P&L explain.
Included: notes PDF, executed Jupyter notebooks + HTML exports, reusable Python library (dates, day counts, compounding, instruments, bootstrap, curves, NSS, risk, PCA), 15-test regression suite, output CSVs, methodology PDFs, a start-here guide, data sources and licences, a parameter-verification table, a realism review, and the notes' code companion that reproduces every number and chart in the notes.
Positioning: realistic educational projects with transparent simplifications; swap quotes are illustrative because dealer quotes are licensed data. Not a production curve library or trading advice. Launch offer: use code YC20 for 20% off.
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 Yield Curve Quant Notes & Lab — SOFR, Bootstrapping, Curve Risk & PCA (134 pages + 3 real-data projects) 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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