Capstone — Cross-Broker Carry Research Engine

Status: outline. Lecture body not authored. Project: spans phases 1–10.

Each student builds or documents a system that can:

1. consume broker specifications; 2. normalise them; 3. produce a mock market; 4. open a two-leg carry cell; 5. keep a ledger per account; 6. compute exposure; 7. control margin; 8. compute T_SO; 9. attribute P&L; 10. run sizing; 11. respond to uncertain orders; 12. execute stress scenarios; 13. emit a Gate A Report.

Unique process — A research engine, not a swap recipe

Deliverables (curriculum): architecture; data contract; tests; simulation; exposure report; Margin Survival Report; P&L Attribution Report; Sizing Report; Stress Report; Gate A PASS/FAIL; Gate B checklist for later live research.

The student does not pass by producing a profitable backtest. Pass requires dimensional consistency, accounting reconciliation, neutrality, survival, reproducibility, no double-counting, the ability to name every P&L source, and an account of the model’s limits.