Fixed Income Math & Bond Pricing

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.

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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.

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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 |

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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

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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

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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