A desk quant must explain why the prices and cash flows in a book agree. This project combines an equity-index carry price, a bond present value and yield, a futures settlement loss and repo interest. A deliberate day-count error shows how a plausible number can still use the wrong convention.
Learning objectives. By the end of this note you should be able to:
- compute and interpret rich/cheap versus a quote;
- price a short coupon bond from a zero curve and solve for YTM;
- compute a futures variation-margin flow and a repo haircut advance;
- fail a deliberate convention mistake (Actual/360 vs Actual/365) and correct it;
- reproduce the numerical checkpoint below.
In this lesson
- Project brief (standing data)
- Part A — Carry fair value
- Part B — Bond PV and YTM
- Part C — Futures variation margin
- Part D — Repo funding point
- Part E — Reproducible Python checkpoint
Before you start
- Forwards, Futures and Swaps
- Bonds, Money Markets and Yields
- Funding, Margin, Collateral and Short Selling
- Instrument Data Conventions
The full lesson, with worked examples and exercise solutions, is for members.
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