Fixed Income Engineering and Multi-Curve Yield Bootstrapping: Post-LIBOR SOFR OIS Discounting, Repo Rates, Treasury Futures Cheapest-to-Deliver, and Convexity Hedging

Deep End Era. Engineering with Sankalp · Oct 29, 2026 · 1h 21m

Welcome back to The Deep End. We are in Episode 434, the fifth installment of our ten-part series on Quantitative Finance, Market Microstructure, and Risk Engineering. In Episode 433, we priced non-linear derivatives—from Breeden-Litzenberger Butterfly densities and Dupire Local Volatility to Heston Stochastic Volatility, SABR, and the 1/K^2 Variance Swap strip. And throughout Episode 433, every time we discounted a future payoff HT back to today, we quietly wrote exp(-r T), as if there were a single, unambiguous, God-given number called "the risk-free interest rate r." Today, we pull back…