Balancing Grad School & Double Majoring: Decision Time!

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Basically I have most of my classes required to graduate, but due to the lack of availability of some classes it will still take me about 3 more semesters after the current semester.

So I was considering double majoring with math, so it would be physics + math major. Since I was already a math minor, it is only about an additional 12 credit hours to go for the math major as well.
However, my advisor was recommending that I take some graduate classes. The thing is, I will be going to a different university for graduate school, so I'm not too confident that the credits for those graduate classes will be transferable or not.. even so, it would still be great practice to take graduate classes and get a head start learning that stuff by the time I do make it to grad school even if the credits don't transfer.

So basically I am wondering if it will be of any benefit to me at all to have a bachelors degree in physics and math when I graduate, or should I just forget the math major and do the graduate courses even though there is a chance that the credits will not transfer?
 
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You should think about it this way: both are good.

If you are especially interested in mathematical (theoretical/computational) physics, and you enjoy math classes---then sure, go for the math second major. At the same time, graduate physics classes tend to give you just about all the math you need---and if you want more, you can study it on the side (so if you're interested in just the knowledge, not the degree---perhaps skip it).

I wouldn't worry too much about the transferring of credits, worst-case the credits don't transfer, if you have to take the same class at your graduate institution the professor will probably let you breeze through, or just take the exam, etc etc. Having the experience of taking grad-classes before you go to grad-school can be extremely valuable.
 
If you're going to grad school for physics, taking a few grad level physics classes and doing well in them (A's) will do more for your application than a math major. Grad schools know most physics majors have about a math minor anyway, and if they didn't require a math class, you probably don't need it. Also, if you haven't taken any computer science, take at least one programming class, and see if you can spend parts of your semesters working with a professor in their lab or on research.