Bootcamp 01 — Five-Day PM/FICC Foundations¶
Day 0 — Orientation (optional, for true beginners)¶
If you haven't taken a portfolio-theory or linear-algebra course before,
start here. If w' Sigma w is already second nature and your pm
package imports without error, skip straight to Day 1.
- confirm your environment works
- the PREDICT / MANUAL FIRST / HAND CALCULATION / ORAL CHECK learning cycle
- vectors, dot products, and the quadratic form
w' Sigma wby hand
Notebook: - 00 Orientation
Also see reference/glossary.md — a one-line-per-term cheat sheet for vocabulary used throughout the curriculum.
Day 1 — Portfolio mathematics and risk¶
- portfolio process and vocabulary
- returns and compounding
- covariance/correlation
- diversification
- portfolio volatility
- marginal/component risk
- Sharpe and drawdown
Notebooks: - 01 Returns and Compounding - 02 Covariance and Diversification - 03 Risk Contribution - 13 Sharpe, Drawdown, Benchmark (Sharpe ratio, drawdown, benchmark vocabulary)
Day 2 — Portfolio theory and optimization¶
- opportunity set
- efficient frontier
- global minimum variance
- tangency / Sharpe
- mean–variance utility
- CVXPY
- constraints
- turnover/transaction-cost intuition
- optimizer instability
Notebooks: - 04 Efficient Frontier - 05 Constrained Optimization
Day 3 — Active management and risk models¶
- benchmark-relative thinking
- active weights
- tracking error
- information ratio
- alpha / IC / breadth
- factor models
- active optimization
Notebooks: - 06 Active Portfolio - 07 Factor Risk
Day 4 — Fixed-income foundations¶
- bond vocabulary and price
- YTM
- duration
- DV01
- convexity
- yield curve vocabulary
- key-rate duration
- spread/spread duration
- carry/roll introduction
Notebooks: - 08 Bond Math - 09 Duration and Curve Risk - 10 Credit Spreads
Day 5 — Scenario, attribution, integration¶
- scenario design
- risk-off scenario
- attribution intuition
- combined portfolio report
- deterministic analytics/tool boundary
- oral assessment
Notebooks: - 11 Scenarios - 12 Attribution
Daily rule¶
Never spend more than ~45 minutes searching for learning materials. Use the curated references and build.
Extension — Day 6: Rates portfolio management¶
This sprint was originally scoped to five days. Phase 6 of ROADMAP.md
(rates portfolio management) extends it by one day, building on Day 4's
fixed-income foundations.
- curve construction (bootstrapping), forward rates
- curve trades: steepeners, flatteners, butterflies
- scenario analysis on curve shocks
- swaps, swap DV01, swap spreads
- Treasury futures, hedge ratio
- carry and rolldown, repo/specialness/on-the-run vs. off-the-run, TIPS and breakeven inflation
Notebooks: - 14 Curve Construction and Forwards - 15 Curve Trades and Scenarios - 16 Swaps and Swap Spreads - 17 Futures and Hedging - 31 Carry, Roll, and Financing
Extension — Day 7: Risk models (VaR, ES, factor contribution)¶
Phase 4 of ROADMAP.md (risk models), building on Day 3's factor model.
- factor variance vs. specific variance contribution
- parametric VaR and expected shortfall
- stress testing (reuses Day 5's
Scenariomechanism — seereference/concepts/stress_testing.md)
Notebooks: - 18 Factor Risk Contribution - 19 VaR and Expected Shortfall
Extension — Day 8: Credit¶
Phase 7 of ROADMAP.md (credit), building on Day 4's spread/spread
duration. OAS and rating migration are covered conceptually only — see
reference/fixed_income/oas.md and credit_migration.md for why they
aren't implemented as code here.
- Z-spread
- credit curves, IG/HY
- default, recovery, hazard rate
- CDS and CDS-bond basis
- portfolio credit scenarios (reuses Day 5's
Scenariomechanism anduse_cases/spread_shock/README.md) - fundamental credit analysis (leverage/coverage ratios, covenants), credit indices (CDX/iTraxx), leveraged loans (conceptual)
Notebooks: - 20 Z-Spread and Credit Curves - 21 Default, Recovery, and CDS - 32 Fundamental Credit and Indices
Extension — Day 9: Securitized / mortgages¶
Phase 8 of ROADMAP.md (securitized/mortgages). Full price-based negative
convexity/OAS, non-agency tranche waterfalls, specified-pool pay-ups, and
CMO/REMIC tranche cash-flow waterfalls are conceptual only — see
reference/fixed_income/oas.md, mbs_convexity.md,
non_agency_overview.md, specified_pools.md, and
cmo_remic_structuring.md for why they aren't implemented as code here.
- agency MBS pass-throughs, amortization
- CPR / SMM / PSA prepayment
- effective duration (technique)
- extension and contraction (WAL response to rates)
- non-agency / ABS / CMBS overview
- TBA and the dollar roll (implied financing rate), specified pools and pay-ups, CMO/REMIC tranche structuring (sequential, PAC, support)
Notebooks: - 22 Pass-Throughs and Prepayment - 23 Effective Duration and Convexity - 33 TBA, Dollar Roll, and Structuring
Extension — Day 10: FX and commodities¶
Phase 9 of ROADMAP.md (FX and commodities).
- FX spot/forward, covered interest parity
- cross-currency basis
- FX carry and hedging
- commodity futures curves: contango, backwardation, roll yield
Notebooks: - 24 FX and Commodities
Extension — Day 11: Attribution and implementation (deep dive)¶
Phase 10 of ROADMAP.md, extending Day 5's attribution intuition into a
real Brinson decomposition plus transaction costs/rebalancing. Liquidity
is conceptual only — see reference/concepts/liquidity.md.
- Brinson attribution (allocation, selection, interaction)
- fixed-income carry/curve/spread decomposition
- transaction costs
- rebalancing trades
Notebooks: - 25 Brinson and Rebalancing
Extension — Day 12: Advanced portfolio construction¶
Phase 11 of ROADMAP.md, building on Day 2's mean-variance optimization.
Hierarchical risk parity, regime-aware allocation, and multi-period
optimization are conceptual only — see reference/concepts/hierarchical_risk_parity.md,
regime_aware_allocation.md, and multi_period_optimization.md for why.
- covariance shrinkage (robust covariance)
- Black-Litterman
- risk parity
- scenario-robust (minimax) optimization
Notebooks: - 26 Shrinkage and Black-Litterman - 27 Risk Parity and Robust Optimization
Extension — Day 13: Agentic PM analytics¶
Phase 12 of ROADMAP.md, the final FICC roadmap phase. No notebook —
this is the agent layer over everything built in Days 1–12, not new
financial math. Read reference/concepts/agentic_pm_analytics.md first;
it maps every roadmap bullet to the concrete artifact that satisfies it.
- tool schemas —
docs/tool_schema.json - natural-language query layer —
/pm-query(skills/pm-query/SKILL.md) - tutor agents —
/tutor(skills/tutor/SKILL.md, built earlier) - evals —
docs/agentic_analytics_evals.md - grounding, guardrails, explainability, observability — see how both
skills apply
AGENTS.md's rules and cite/log every answer
Extension — Day 14: Equity portfolio management¶
Phase 13 of ROADMAP.md, the first phase to extend the repo beyond
docs/FICC_TAXONOMY.md's fixed-income/currencies/commodities scope into
equities. Full multi-factor risk-model estimation (Barra/Axioma-style) is
conceptual only — see reference/equity/equity_factor_investing.md for
why.
- dividend discount models (Gordon growth, two-stage)
- relative valuation multiples (justified P/E, PEG)
- CAPM, beta, equity risk premium, Jensen's alpha
- active share and style tilt
- shareholder yield, buybacks, total shareholder return
Notebooks: - 28 Equity Valuation and CAPM - 29 Active Share, Factors, Shareholder Yield
Extension — Day 15: Derivatives and options¶
A curriculum-completeness audit found zero options/derivatives coverage
anywhere in this repo despite deep coverage of linear instruments
(futures, swaps, CDS) — this closes that gap. Full volatility-surface
construction, American-exercise pricing, and the curve/annuity layer a
real swaption or cap needs are conceptual only - see
reference/derivatives/options_on_forwards_and_rates_options.md and
option_strategies.md for why.
- Black-Scholes pricing (call and put)
- the Greeks: delta, gamma, vega, theta, rho
- put-call parity
- implied volatility
- Black-76 (options on forwards/futures) and how it extends to swaptions, caps, and floors
- option strategies: covered call, protective put, collar (conceptual)
Notebook: - 34 Black-Scholes, Greeks, and Rates Options
Extension — Day 16: Performance measurement, LDI, and asset allocation¶
The same completeness audit that found the options gap also found no
performance-measurement fundamentals (time-weighted vs. money-weighted
return, GIPS) and no asset-allocation framing on top of the existing
optimization machinery. GIPS composite construction and full
strategic/tactical asset allocation are conceptual only - see
reference/concepts/performance_measurement.md and
strategic_and_tactical_asset_allocation.md for why (the short version:
SAA/TAA reuses mean_variance_optimization, black_litterman_posterior,
and risk_parity_weights rather than needing a new formula).
- time-weighted return (TWR) vs. money-weighted return (MWR/IRR)
- GIPS and composite construction (conceptual)
- liability-driven investing: funded ratio, surplus
- duration/PV01 matching for liabilities (reuses
dv01/hedge_ratio) - strategic vs. tactical asset allocation (conceptual)
Notebook: - 35 Performance, LDI, and Asset Allocation
Extension — Day 17: Munis, convertibles, preferreds, and the wider universe¶
The last of four workstreams from the curriculum-completeness audit:
narrower asset-class coverage and survey-level fluency in alternatives
and ESG. Municipal and sovereign credit analysis, the convertible-bond
straight-bond floor, and full alternatives/ESG scoring models are
conceptual only — see reference/fixed_income/municipal_bonds.md,
convertible_bonds.md, and reference/alternatives/*.md for why.
- municipal bonds: tax-equivalent yield
- convertible bonds: conversion value, conversion premium
- preferred securities: perpetuity valuation (reuses the equity module's Gordon growth function at zero growth)
- sovereign and EM debt: hard currency vs. local currency (conceptual)
- alternative investments overview: private equity, hedge funds, real assets, private debt, the J-curve (conceptual)
- ESG and sustainable investing: negative screening, best-in-class, ESG integration, engagement, impact investing (conceptual)
Notebook: - 36 Munis, Convertibles, Preferred, and Alternatives
Also new this pass: four use cases closing the last gaps in
use_cases/ — FX Hedge,
Commodity Futures Roll,
MBS Extension Scenario, and
Fundamental Credit Review.
Extension — Day 18: Capstone¶
The last day. Less hand-holding on purpose — this is where you compose
concepts from across the whole curriculum on one realistic portfolio
(using data/mock_portfolio.csv, mock_benchmark.csv, and
mock_bonds.csv, previously unused by any notebook) instead of learning
a new one.
- absolute risk decomposition by group
- active risk: tracking error, MCTE/CCTE, information ratio
- ex-ante vs. ex-post — did the risk model match reality?
- bond-level duration/DV01, a rates scenario, a credit scenario
- Brinson attribution
- writing the one-page PM summary
Notebook: - 30 Capstone: Full Portfolio Risk and Attribution Review