Companion files · The Private Markets Career Guides
Inside the Bond Trading Desk: Fixed Income Trading, Pricing and Yield, the Treasury Curve, DV01 and Hedging, Credit Spreads, Market-Making, Risk Limits and the Career.
These are the companion files of the book. One workbook rebuilds the Thornbury Vale desk, the fictional US investment grade credit and rates flow desk the book follows through one trading day: the price, DV01 and duration of four Treasuries and a corporate bond, the curve and roll-down, a client trade with its hedge, day two and the resale, carry, limits, value at risk and stress, and the desk's year. A toolkit holds the checklists of Appendix B in an editable form.
The archive holds the workbook, the toolkit and 00_START_HERE.md. No macros, no circular references, no external links. The workbook recalculates in Excel, LibreOffice or Google Sheets.
Chapters 4 to 10, 12 and 14
One Inputs sheet holds every assumption: the curve, the bonds, the client trade, day two, repo, risk and the desk's economics. One sheet each for pricing, the curve, the client trade, risk and the desk P&L, and a Checks sheet that puts the figures printed in the book beside the cells that compute them.
Download the workbook17 KBAppendix B
Morning meeting checklist, pricing a request for quote, hedging a client trade, end-of-day marks and P&L sign-off, limit escalation, client call notes and an interview preparation plan.
Download the toolkit40 KBRead first
What each file holds, which sheet answers which chapter, and the two inputs to change first.
Download the read-me2 KB| The 10-year note | Priced at par, it moves about $808 per $1 million of face for each basis point |
| The hedge | A $20 million corporate bond bought from a client is hedged with $19.2 million of the 7-year Treasury, a ratio of 0.96 |
| The ticket | $57,751 of edge, a loss of $34,551 on day two, $5,807 on the resale: $29,007 after two days |
The files are provided as they are, without warranty of any kind. The model is illustrative: Thornbury Vale Securities, its desk, its clients and the issuer are fictional, and every market level is a teaching assumption, not the market on any date. Nothing here is trading, investment, legal, tax or accounting advice.