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.
284 documents
The document asks how to interpret specialness in bond futures when holding a long-only cash bond portfolio. It contrasts a cash bond’s implied forward price, determined by its carry, with the futures-implied forward price. When the futures-implied carry is…
The document examines negative carry claims for long positions in short-maturity Treasury note futures, including the two-year contract. It distinguishes cash bond carry from futures roll return: futures themselves do not have carry in the same sense as…
This exchange asks why a German government bond future can have a quoted price far above the price of a cash government bond. The question considers yield-curve expectations, quotation conventions, and carry, and wonders whether coupon payments should make…
The document raises a question about measuring the cost of a currency hedge or short position using an FX forward. It compares the forward-to-spot percentage change for EUR/USD with a quoted estimate of the three-month cost of being long euros and short…
The document explains why a yen-based investor’s cost of hedging a dollar asset is connected to interest rates and forward exchange pricing. It describes using a cross-currency swap to exchange dollar interest payments for yen interest payments and lock in a…
The note considers whether a Treasury issue that trades special in overnight repo is cheap relative to a fitted Treasury spline. Its central lesson is that the value of repo specialness depends on how long the bond is expected to remain special. A current…
The answers explain that FX outright delivery dates are convention driven and can vary with the currency pair, market, and trade details. Relevant inputs include spot settlement timing, holidays in each currency, weekends, whether USD holidays are included,…
The document explains why gross basis tends to decline as a bond futures contract approaches delivery. It defines gross and net basis and relates the implied repo rate to the bond’s invoice price, cash price, and time remaining. Because time to delivery…
The document explains a way to interpret an annual yield calculated from the difference between NDF bid and ask rates relative to spot. It connects the calculation to the familiar practice of expressing forward points as a proportion of spot, then…
The exchange explains how a deliverable bond moving from general collateral repo to special repo can affect its gross and net basis against a futures contract. Special financing lowers the bond’s carrying cost, which can attract demand and raise its price;…
The document asks how to interpret a bond investment denominated in one currency when the investor hedges the currency exposure using a forward rate whose implied yield differs from the bond’s yield. It frames the question as whether a 10% bond yield…
The document illustrates how a company with dollars can use an FX swap when it needs francs to settle a bond purchase and later expects to receive foreign-currency proceeds. In the example, the company exchanges dollars for francs for near-term settlement,…
The document explains why a total return swap’s financing spread can reflect security borrow costs and how the contract relates to an index future. A TRS buyer receives the reference asset’s total return, including dividends, while paying a financing amount…
The document considers how to define carry for a USD payer swaption with a six-month expiry and a ten-year underlying swap. It questions a simple calculation based on subtracting a short-term LIBOR fixing from a ten-year yield, and whether that spread alone…
The document weighs whether investors should include commodities in diversified portfolios. It presents arguments on both sides, noting that asset-allocation products and some institutional portfolios use commodity exposure, while the cited research is not…
This note explains an approximate way to translate the spread on a USD-denominated bond into an equivalent spread over a euro reference rate. It considers a euro issuer that borrows in dollars and uses the SOFR–ESTR cross-currency basis to express the USD…
The document compares shorting borrowed shares with constructing a synthetic short using a long put and short call at the same strike and expiry. Its example uses a hard-to-borrow stock and reports that the option combination produces a credit and an…
The document interprets carry on a short long-dated Treasury position by connecting the current yield with the yield implied for a shorter-maturity bond at a future date. It explains negative carry as a drag that must be offset by a favorable market move for…
The document asks whether a long position in a quarterly bitcoin future and a short position in a perpetual swap can remain market neutral. It explains that perpetual swaps have no expiry and use funding payments to help keep their prices near spot. The…
The note explains why a floating-rate bond is generally valued near its face value when issued and immediately after a coupon resets. For the first accrual period, the forward coupon rate is already known and matches the discount rate used for that period,…
The note explains why an inflation-linked bond can show positive carry as its reference index rises. Linker cash flows are tied to index ratios, so an increase in the index raises the value of the indexed component; the realized holding return also reflects…
The document explains why an outright FX forward can have theta even though it has no option-style time value. It frames theta more broadly as the change in a position’s value when time advances while market inputs are held fixed. In an FX forward, this…
The document explains how to estimate EUR/USD forward rates from spot and interest rates using covered interest rate parity (CIP). Rates must match the forward’s maturity: an overnight rate is not a substitute for a one-year rate, and the calculation needs…
The document asks why a one-year Bitcoin futures contract can trade at a premium whose annualized rate exceeds a comparable government bond yield, despite standard cost-of-carry relationships. It considers whether demand for leveraged exposure may help…