# The Fixed Income Trader: companion files

Julian R. Sterling

## What is here

- **Fixed_Income_Desk_Model.xlsx**: the workbook that rebuilds the Thornbury Vale case and reproduces the figures of the book with live formulas. Sheets: Read Me, Inputs, Bond Pricing, Curve and Roll, Client Trade, Risk, Desk P&L, Checks.
- **Fixed_Income_Trader_Toolkit.docx**: the checklists of Appendix B (morning meeting, pricing an RFQ, hedging a client trade, end-of-day marks and P&L sign-off, limit escalation, client call notes, interview preparation), in editable form.

## Which sheet answers which chapter

- Chapters 4 and 6: Bond Pricing (price, DV01, duration, convexity, the 10-year note cash flow by cash flow)
- Chapter 5: Curve and Roll (slopes, roll-down, the DV01-neutral steepener)
- Chapters 7, 8 and 9: Client Trade (the request for quote, the edge, the hedge, day two, the resale, the carry)
- Chapter 10: Risk (limits, value at risk, stress tests)
- Chapters 12 and 14: Desk P&L (the 2025 economics, the portfolio trade)

## Two inputs to change first

1. On Inputs, set the desk bid spread to 108 basis points instead of 110: watch the edge, the ticket P&L and how thin a winning price can be.
2. On Inputs, set the day-two spread change to zero: see what the ticket earns when only rates move and the hedge works. Reset the inputs afterwards: the Checks sheet compares the workbook with the figures printed in the book.

Blue type on a light blue background is an input, black type a formula. No macro, no circular reference, no external link. The Checks sheet should read ALL CHECKS OK on the default inputs.

Thornbury Vale Securities, its desk, its clients and the issuer are fictional; every market level is a teaching assumption, not the market on any date. Provided as is, without warranty. Not trading, investment, legal, tax or accounting advice.