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.
5,701 documents
The document outlines ways to set long-term capital market assumptions for fixed-income assets, including government bonds and high-yield credit. One approach builds expected returns from a cash-return estimate plus relevant premia, such as government bond…
The document explains that continuous compounding is often a modeling choice rather than an assumption that interest is literally reinvested at every instant. Continuous-time asset-pricing theories describe evolving prices and discounting with continuous…
The document presents a QuantLib setup for calibrating a one-factor Hull–White short-rate model to a EUR overnight-indexed discount curve and a normal-volatility surface for three-month Euribor swaptions. It describes fitting the model’s mean-reversion and…
The exchange considers whether to regress changes in yield curve points as percentage changes or as absolute changes. The answers describe fixed-income practice: rates and their volatility are commonly expressed in yield terms, especially basis points. This…
The exchange explains how to calculate a US Treasury bill’s money market yield directly from its purchase price and face value. It gives the formula as the price gain divided by the purchase price, annualized on a 360-day basis for the holding period. This…
The document examines how annual discrete and continuous interest rates relate when they produce the same accumulation, then extends the comparison to a period of length t. By expanding the exponential function as a Taylor series and equating the resulting…
The document clarifies the distinction among a Libor fixing date, the start of the accrual period, and its end. In many markets, the rate is fixed shortly before the accrual period begins; it is a forward rate for the period from start to end. This means the…
The document outlines a state-space formulation for an arbitrage-free affine extension of the Nelson–Siegel term-structure model. Yield observations are represented as a maturity-dependent adjustment plus a linear combination of three latent factors and…
The document asks how to forecast Treasury yield curves and compare bond structures under simulated future rates. Its response introduces a basic no-arbitrage intuition: a longer-maturity yield can be compared with the return from investing for a shorter…
The document examines how to value deposits and withdrawals made at different times when an account earns simple interest. It contrasts accumulating each cash flow over its own holding period with discounting later cash flows to time zero and then applying…
The document compares constant-maturity Treasury series with yields on actual, currently issued on-the-run bonds. A constant-maturity series can be constructed from a zero-coupon discount curve, allowing analysis across a longer history than the available…
The document is a beginner’s question about steps in a stochastic derivation of a zero-coupon bond formula. It asks why the drift term μ(t) is identified with the expectation of the short rate r(t), how one displayed identity follows, and how a later…
The discussion explains how the risk-free rate used in a discounted cash flow valuation can reflect the timing of projected payments. It suggests matching near-term cash flows with short-maturity Treasury rates and later cash flows with rates closer to their…
The document shows how to turn a monthly Treasury bill rate series into a hypothetical value path for an initial investment. It describes carrying the prior month’s value forward and multiplying it by one plus the current rate expressed as a decimal, then…
The document compares two interpretations of an Act/365 day-count convention for accrual periods spanning a leap day. Both methods count the actual calendar days between the dates; they differ in the denominator. Under Act/365F, the denominator remains 365.…
The question compares expected 30/360 accrued interest on a bond with Bloomberg’s displayed accrual, which appears to count more days than the author expects when including a Friday. It asks whether the difference reflects interest accruing over the weekend.…
The question concerns calibrating a swaption model when Bloomberg provides normal volatilities at several strikes around the at-the-money forward swap rate. A least-squares calibration requires market prices as targets, but the author does not know which…
The document discusses how to find an asset’s internal rate of return by solving for the zero of its net present value function. The questioner uses Newton–Raphson first, then switches to interval bisection when Newton–Raphson fails, since difficult function…
The document examines an apparent contradiction in a derivation of forward-rate dynamics. Starting from bond price dynamics under the risk-neutral measure, the question applies a change to the T-forward measure and then differentiates the logarithm of the…
The document asks whether historical short-term Treasury bill yields can stand in for savings account interest rates on the grounds that both are often treated as risk-free returns. The answer says they should not be assumed equivalent. It points to…
The document names the bond trade that sells a newly issued, liquid on-the-run bond and buys an older off-the-run issue. The stated rationale is that the newest issue can command a liquidity premium, making it relatively expensive even when its other…
The document resolves an apparent conflict between foreign exchange rate dynamics and the martingale condition under a domestic money-market numeraire. An exchange rate quoted as units of domestic currency per unit of foreign currency has drift equal to the…
The document derives the dynamics of a LIBOR forward rate under the measure associated with a zero-coupon bond maturing at the forward rate’s end date. Starting from bond price dynamics under the risk-neutral measure, it applies Itô’s lemma to the ratio of…
The document asks what an estimated equilibrium return on 90-day Treasury bills means when it appears as the risk-free rate in a reference portfolio review. The accepted answer interprets the figure as a long-run estimate of the policy-rate environment,…