Things my supervisor told me, that i largely ignored because I assumed they wouldnt be a problem, and then paid the penalty for later:
a) Check your sources of data first. In great detail. Figure out how you will export it, and read it into any code you are planning to write.
b) If you are coding up structural bond models, get one working first. Completely, from the data extraction -> data cleansing -> model coded -> model equations performed on data - i.e. from beginning to end. Don't bother coding up half a dozen models, or trying to, because I guarantee you you'll run out of time, and be stuck with a few models and THEN realise that your datasources are garbage and you'll spend days and days trying to download data by hand. Especially if you use Thomson Datastream
Those are the first things I'd say. You'll have to be more specific if you want any further advice.