Rates, Credit, and Mortgages: Zero to Hero¶

A single sequenced path through this repo's full fixed-income coverage — pricing and risk mechanics and the practitioner/market-structure layer on top of it (carry and roll, repo, TIPS, credit indices, fundamental credit analysis, TBA/dollar roll, specified pools, CMO/REMIC structuring) — with the reference page, notebook, and one or two verified external resources for every step. Follow it in order; each tier assumes the ones before it.

This is the FICC-specific complement to learning paths's Path B, expanded to the depth the "start from zero, reach a reasonable level of proficiency" goal actually requires. Use it manually (read → predict → derive → code → test → explain, per getting started) or drive it interactively with /pmexpert — see the mastery guide; /pmexpert already walks this exact curriculum order.

Before you start¶

notebooks/foundations/00_orientation.ipynb — environment check, the PREDICT/MANUAL FIRST/ORAL CHECK learning cycle, and the one piece of matrix math (w' Sigma w) later notebooks assume. Skip this if you've already done it.
Keep reference/glossary.md open as a look-up for unfamiliar terms throughout.
notebooks/fixed_income/08_bond_math.ipynb — bond pricing and YTM, the base every later rates/credit/mortgages concept builds on.

Free resources: PIMCO Fixed Income Education Center for terminology and framing before diving into any single topic below.

Tier 1 — Rates¶

1.1 Duration, DV01, convexity, key-rate duration¶

Reference: reference/fixed_income/duration.md, dv01.md, convexity.md, key_rate_duration.md Notebook: notebooks/fixed_income/09_duration_curve_risk.ipynb Resource: PIMCO — Understanding Duration

1.2 Curve construction and forward rates¶

Reference: reference/fixed_income/curve_construction.md, forward_rates.md Notebook: notebooks/fixed_income/14_curve_construction_forwards.ipynb Resource: CME Group education hub — curve bootstrapping intuition and forward rates

1.3 Curve trades: steepeners, flatteners, butterflies¶

Reference: reference/fixed_income/curve_trades.md Notebook: notebooks/fixed_income/15_curve_trades_scenarios.ipynb Resource: U.S. Treasury Interest Rate Statistics and FRED for real curve data to test trade ideas against

1.4 Swaps, swap DV01, swap spreads¶

Reference: reference/fixed_income/swap_dv01.md, swap_spread.md Notebook: notebooks/fixed_income/16_swaps_and_swap_spreads.ipynb

1.5 Treasury futures and hedging¶

Reference: reference/fixed_income/treasury_futures_hedging.md Notebook: notebooks/fixed_income/17_futures_and_hedging.ipynb Resource: CME Group education hub — Treasury futures and hedge ratios

1.6 Carry and rolldown¶

Reference: reference/fixed_income/carry_and_rolldown.md Notebook: notebooks/fixed_income/31_carry_roll_and_financing.ipynb Resource: Carry Roll-Down Explained — riskhub.org — the exact formula and worked example this repo's numbers are checked against

1.7 Repo, specialness, on-the-run vs. off-the-run¶

Reference: reference/fixed_income/repo_and_financing.md (conceptual — repo rate is a market observation, not a formula) Notebook: notebooks/fixed_income/31_carry_roll_and_financing.ipynb Resources: On the run (finance) — Wikipedia; What's going on in the US Treasury market, and why does it matter? — Brookings; Money Market Fund Repo and the ON RRP Facility — Federal Reserve

1.8 TIPS and breakeven inflation¶

Reference: reference/fixed_income/tips_and_breakevens.md Notebook: notebooks/fixed_income/31_carry_roll_and_financing.ipynb Resources: TIPS for Inflation Protection — Charles Schwab; 10-Year Breakeven Inflation Rate (T10YIE) — FRED

Apply it: use_cases/duration_hedging/, use_cases/curve_positioning/, use_cases/swap_dv01_hedge/, use_cases/treasury_futures_hedge/ — see use_cases/index.md.

Tier 2 — Credit¶

2.1 Credit spreads and spread duration¶

Reference: reference/fixed_income/spread_duration.md Notebook: notebooks/fixed_income/10_credit_spreads.ipynb

2.2 Z-spread and credit curves¶

Reference: reference/fixed_income/z_spread.md, credit_curves.md Notebook: notebooks/fixed_income/20_z_spread_and_credit_curves.ipynb

2.3 Default, recovery, hazard rate, CDS, CDS-bond basis¶

Reference: reference/fixed_income/default_recovery.md, cds_and_basis.md Notebook: notebooks/fixed_income/21_default_recovery_and_cds.ipynb

2.4 Credit migration¶

Reference: reference/fixed_income/credit_migration.md (conceptual — full rating-transition matrices are out of scope; see the page for why)

2.5 Fundamental credit analysis: leverage, coverage, covenants¶

Reference: reference/fixed_income/fundamental_credit_analysis.md Notebook: notebooks/fixed_income/32_fundamental_credit_and_indices.ipynb Resources: Financial Ratios for Credit Analysis — AnalystPrep (CFA Level 1); An Introduction to Covenants in Leveraged Finance Debt — CredCore

2.6 Credit indices: CDX / iTraxx, intrinsic spread, basis¶

Reference: reference/fixed_income/credit_indices.md Notebook: notebooks/fixed_income/32_fundamental_credit_and_indices.ipynb Resources: Credit Default Swap Indices — Financial Edge Training; Credit default swap index — Wikipedia

2.7 Leveraged loans¶

Reference: reference/fixed_income/leveraged_loans.md (conceptual — floating-rate/discount-margin mechanics differ enough from this repo's fixed-coupon bond pricing that they aren't coded; see the page for why) Notebook: notebooks/fixed_income/32_fundamental_credit_and_indices.ipynb Resources: Leveraged Lending and Collateralized Loan Obligations: FAQs — Congressional Research Service; Leveraged Credit Markets: Then and Now — Western & Southern / Fort Washington

2.8 OAS¶

Reference: reference/fixed_income/oas.md (conceptual only — full option-adjusted spread requires a term-structure model this repo doesn't build; the page explains exactly what would be needed)

Apply it: use_cases/spread_shock/ — see use_cases/index.md.

Tier 3 — Securitized / Mortgages¶

3.1 Pass-throughs and amortization¶

Reference: reference/fixed_income/pass_throughs.md Notebook: notebooks/fixed_income/22_pass_throughs_and_prepayment.ipynb

3.2 Prepayment: CPR, SMM, PSA¶

Reference: reference/fixed_income/prepayment_models.md Notebook: notebooks/fixed_income/22_pass_throughs_and_prepayment.ipynb

3.3 Effective duration and MBS negative convexity¶

Reference: reference/fixed_income/effective_duration.md, mbs_convexity.md Notebook: notebooks/fixed_income/23_effective_duration_and_convexity.ipynb

3.4 Non-agency, ABS, CMBS overview¶

Reference: reference/fixed_income/non_agency_overview.md (conceptual — tranche waterfall modeling is materially bigger than this repo's pool-level pass-through math; see the page for why)

3.5 TBA and the dollar roll¶

Reference: reference/fixed_income/tba_and_dollar_roll.md Notebook: notebooks/fixed_income/33_tba_dollar_roll_and_structuring.ipynb Resources: Dollar roll — Wikipedia; Using Dollar Rolls as a Balance Sheet and Earnings Strategy for Banks and Credit Unions — Doeren Mayhew — the worked example this repo's formula is checked against

3.6 Specified pools¶

Reference: reference/fixed_income/specified_pools.md (conceptual — pay-up is a market-observed premium, not a formula; see the page for why) Notebook: notebooks/fixed_income/33_tba_dollar_roll_and_structuring.ipynb Resources: Specified Pool and TBA Trading in the Mortgage Backed Securities Market — SMU Cox Finance Seminar Series; Cash Payups for Mortgages with Specified Characteristics — Freddie Mac FAQ

3.7 CMO / REMIC structuring¶

Reference: reference/fixed_income/cmo_remic_structuring.md (conceptual — a full tranche cash-flow waterfall is materially bigger than this repo's small-transparent-function style; see the page for why) Notebook: notebooks/fixed_income/33_tba_dollar_roll_and_structuring.ipynb Resources: Collateralized Mortgage Obligations (CMOs) — thisMatter.com; Investor's Guide to RMBS & CMOs — SIFMA

3.8 OAS (mortgage context)¶

Reference: reference/fixed_income/oas.md and mbs_convexity.md — read "What's demonstrable here, and what isn't" in mbs_convexity.md closely; it's the single clearest statement in this repo of the line between a correct cash-flow-timing result (WAL shift) and a claim this repo does not make (full negative-convexity price behavior).

Tier 4 — Integration¶

4.1 Capstone: everything on one portfolio¶

Notebook: notebooks/integration/30_capstone_portfolio_review.ipynb — absolute and active risk decomposition, bond-level DV01, a rates scenario and a credit scenario, and Brinson attribution composed into the one-page summary a PM would actually read. This is where rates, credit, and (via the portfolio's risk decomposition) the rest of this roadmap gets applied together rather than one concept at a time.

4.2 Test yourself¶

/pmexpert exam — a multi-concept assessment ladder spanning rates, credit, and mortgages together (tutors/assessment_tutor.md)
/pmexpert scenario — walk a real use_cases/* workflow using concepts you've already confirmed
/pmexpert status — check progress against the full 70-concept curriculum at any point

What this roadmap deliberately leaves conceptual, not coded¶

Consistent with this repo's "state why, don't fake it" discipline (see OVERVIEW.md's "What's implemented vs. conceptual-only"): full OAS/negative-convexity price behavior, credit rating migration matrices, non-agency/ABS/CMBS tranche waterfalls, leveraged loan floating-rate/discount-margin pricing, specified-pool pay-ups, and CMO/REMIC tranche cash-flow waterfalls. Each has its own reference page explaining exactly what additional machinery would be required — treat those as interview-ready conceptual fluency, not gaps to feel bad about. Everything else in Tiers 1–3 above is tested src/pm code you can run, not just read about.