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 discussion considers whether distribution fitting for financial returns should use simple percentage returns, log returns, or standardized observations. The accepted response favors percentage returns when fitting distributions such as Student’s t,…
This discussion assesses how much quantitative finance is covered by actuarial professional exams. It describes a progression from foundational financial engineering topics, such as portfolio theory, asset pricing, binomial models, stochastic calculus, and…
The discussion gives several reasons pension funds may hold bonds even when yields are near zero. Some investors expected rates to remain low or turn negative, so bonds could still appreciate if yields fell. Evaluating that choice only after rates changed…
This explanation distinguishes quoted prices from the amounts actually paid for Treasury bills and bonds. For Treasury bills, the quoted price is calculated from the cash price using a convention based on a nominal value of 100 and the bill’s remaining…
The document asks how to obtain accurate intraday foreign-exchange data for analysis in R. One response points to an R package as a way to access FX data directly, potentially avoiding a separate Java download and CSV import workflow. Another response…
The document considers whether a risk system can simplify a multicallable bond by treating an assumed call date as its maturity. For small interest-rate sensitivity calculations, one possible shortcut is to identify the exercise date associated with yield to…
The document discusses hedging a perpetual up-and-out call with a strike of 110 and barrier of 120. One proposed static hedge buys stock in an amount intended to cover the option’s maximum intrinsic payoff at the barrier. This is a buy-and-hold superhedge…
The document explains how to aggregate duration and yield when a fixed-income portfolio contains long and short positions. Its core method is a weighted sum of each position’s duration, using signed weights based on position market value and a chosen…
The document raises the question of how to incorporate GARCH volatility forecasts into a Markowitz mean-variance portfolio optimization. The investor’s existing process estimates expected returns and a variance-covariance matrix, then seeks a portfolio with…
The document explains why realized index fixings must be supplied when building or using interest-rate curves for swaps with floating coupons. A fixing is needed when the index’s fixing date has already passed by the valuation date, even though the coupon…
The document discusses which financing rate belongs in option valuation and whether call and put quotes can be used to infer it. It starts from European put-call parity, then compares that relationship with observed option bids. One answer says the inferred…
This question asks whether a bilateral credit support annex can define different eligible collateral for each counterparty. Its example has one party posting US dollars or Treasury securities and the other posting euros or German government bonds. It also…
This discussion explains how to interpret at-the-money swaption volatility quoted under normal and Black conventions. Normal volatility is expressed in rate units, commonly basis points, while Black volatility is relative to the forward swap rate. The…
This question considers how to express a fund’s return as a distance from an expected mean in standard deviation units. For a standalone fund, it gives the familiar return-over-volatility calculation, with annualization by the square root of time when…
This question describes fitting a time-varying multifactor return model with a Kalman filter in R. The example uses a hedge fund return series and two benchmark factors, estimates observation and state variances by maximum likelihood, then filters and…
The document asks how collateral remuneration, repo, and unsecured bank funding rates relate in post-crisis derivatives pricing, referring to a paper by Vladimir Piterbarg. It defines the collateral rate as the rate paid on posted collateral, the repo rate…
The document raises a derivatives calibration question by analogy with joint modeling of the S&P 500 and VIX. Since the VIX is derived from S&P 500 options, the author asks whether the Euro Stoxx 50 and VSTOXX should likewise be calibrated together. The…
The document seeks practice material for quantitative finance interviews, with particular interest in stochastic calculus, partial differential equations, derivations such as the Fokker–Planck equation, and exercises with solutions. The accepted response…
The document asks whether automated trading strategies tend to make or lose money and seeks comparative tests of simple strategies on historical data. It offers no such benchmark study or measured performance results. Instead, one response describes a…
The document addresses whether Python users can price compound options through QuantLib's CompoundOption class. The accepted answer reports that the class is not exposed in the Python module: attempting to access it through the QuantLib namespace raises an…
The document clarifies competing conventions for dollar gamma. It distinguishes dollar gamma, commonly expressed as gamma multiplied by the square of the underlying price, from the half-dollar-gamma coefficient used in the second-order approximation of…
The document discusses how phoenix and snowball autocallable notes can be valued and hedged. It describes the note price as a combination of a zero-coupon bond, coupon exposure, a short down-and-in put that may be terminated by autocall, and issuer profit.…
The document explains one way to model dependence between two Poisson processes: construct each from its own independent arrivals plus a shared Poisson process. If the processes are M = X + Z and N = Y + Z, the shared component Z creates simultaneous jumps.…
The document describes building a six-month sterling Libor yield curve in QuantLib from a deposit quote and swap rates, then asks how to incorporate forward rate agreements. It shows the existing curve-building setup and its resulting spot-rate table,…