Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
20,364 documents
The document explains how risk-neutral probabilities in a binomial valuation tree are tied to the asset's forward price. For a stock with continuous dividend yield, the expected next-step stock price under the risk-neutral measure should equal the forward…
The document seeks practical examples of spreadsheet and database applications used on trading desks or in bank middle offices, particularly to prepare for interviews. Responses point to several kinds of learning material: QuantLib as a source of tested…
The document asks where to obtain tick-level data for OTCQX and OTCQB securities, noting that the researcher has found end-of-day data but needs intraday observations. It also asks about collecting data independently and the practical issues involved, such…
This discussion explains why changing QuantLib’s evaluation date does not necessarily move the reference date of a discount curve built directly from a fixed set of dates and rates. It outlines two ways to construct a curve when a different reference date is…
The discussion addresses how to keep a portfolio’s normalized value continuous when holdings are added or sold. Simply summing each stock’s normalized value using current portfolio weights can create an artificial jump at a trade, obscuring gains accumulated…
The document presents a Python and QuantLib problem: a dividend-paying American option returns zero for its net present value and Greeks despite inputs that should produce nonzero values. The code builds an American exercise option, supplies discrete…
The response addresses the difficulty of selling an out-of-the-money monthly call or put after its trading volume falls and its bid-ask spread widens. A theoretical price from Black-Scholes does not ensure that a buyer is available at that price, so a sell…
The document explains two roles for volume-weighted average price (VWAP). First, institutions can compare their completed buy and sell executions with a stock’s VWAP for the same date. Separating buys from sells provides an execution benchmark: average…
The response describes Markowitz mean-variance optimization as a model that remains in use because its logic is familiar and easy to explain, while its sensitivity to forecast assumptions is widely recognized. It compares extreme portfolio weights caused by…
The question asks to show that a tangency portfolio does not exist when the risk-free rate equals the expected return of the global minimum variance portfolio. One algebraic answer defines standard covariance-matrix quantities and assumes a solution to the…
The question asks why an asset should be added when its Sharpe ratio exceeds the existing portfolio’s Sharpe ratio multiplied by the asset’s correlation with that portfolio. One answer expresses portfolio Sharpe as a weighted combination of asset Sharpe…
The question asks how to simulate the next price in a geometric mean-reverting model from the previous price, elapsed time, drift, reversion speed, volatility, and a standard normal draw. The accepted answer gives a discrete transition: evolve the log price…
The document surveys possible sources for company credit ratings and related credit information. It distinguishes rating data from yield data associated with a rating: the cited FRED series is offered as a source for yields, while corporate ratings and…
The document explores how FX forward points and a known foreign interest-rate curve might be used to infer domestic forward rates. It illustrates the setup with EUR/USD, starting from a spot quote and forward points for several settlement dates, then relates…
The document describes a performance problem encountered while simulating a swaption strategy in Python with QuantLib. Updating the global evaluation date is initially quick, but repeated changes make the operation take much longer. The response attributes…
The document asks whether predicting limit order cancellations has academic or practical value, including for exchange surveillance, spoofing detection, and high-frequency trading. The response emphasizes that spoofing is difficult to define and prove: an…
The document considers how a scalper or market maker with limited capacity should choose equities from a larger exchange universe. The proposed first-pass ranking uses expected spread revenue, represented by trading volume multiplied by bid–ask spread. The…
The document describes an attempt to price calls and puts with Black–Scholes using historical volatility. Prices near the underlying stock price appear close to observed prices, while estimates farther away diverge. The author calculates implied volatility…
The document asks whether adjoint automatic differentiation (AAD) can estimate sensitivities when a pricing payoff has a nondifferentiable point, such as a range accrual payoff. It outlines approaches discussed in research: differentiate the recurrence in a…
The document explains an approximate way to relate the duration of a call option on a fixed-income instrument to the duration of the underlying bond. It scales the bond’s duration by the option’s elasticity, calculated from the option delta, underlying…
The document discusses a textbook claim that an arbitrage-free general binomial model is complete, meaning contingent claims can be replicated by portfolios. The question focuses on the proof’s linear equations and on why the up and down factors must differ.…
The document explains that an FX swap carries interest rate exposure because its cash flows can be viewed as borrowing in one currency and lending in another. Changes in rates in the two currencies can alter the value of the locked-in funding terms, so the…
The document distinguishes two claims that are often treated as if one automatically proves the other: that investors hold the same tangency portfolio among risky assets, and that this portfolio is the market portfolio. In the mean–variance framework,…
The document explains why dates supplied to QuantLib’s futures rate helpers may not appear as nodes in a bootstrapped yield curve. A futures contract provides a forward rate for an accrual period, so its start date is not the tenor date inferred by the…