Explore sovereign bond markets, spread dynamics, and fixed-income trading strategies in the European bond market — live in your browser, powered by JupyterLite and Pyodide.
Nine self-contained sections moving from market fundamentals through to quantitative risk analysis.
Normal, flat, and inverted curve shapes and what each regime signals about the economic outlook.
Key issuers — Bunds, OATs, BTPs, Bonos, OTs — and the ECB's role as rate anchor and backstop.
BTP-Bund spread dynamics, historical regimes, ECB intervention thresholds, and fragmentation risk.
Computing 2s10s slope, 5s30s slope, and the 2s5s10s butterfly curvature measure across regimes.
DV01-neutral construction, P&L attribution, and why curve shape bets often outperform outright duration trades.
Long belly vs long wings — capturing curvature mispricing between the 2Y, 5Y, and 10Y maturities.
Pricing bonds, computing modified duration, DV01, and convexity for a multi-country portfolio.
Deep easing vs fiscal dominance vs re-acceleration — how each shapes the Bund curve and portfolio P&L.
Factor-based yield curve simulation, P&L distribution, VaR, and Expected Shortfall across 2,000 paths.
Runs entirely in your browser — no install needed. Python (Pyodide) loads on first use (~15 s), then all cells execute instantly.