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 asks how to estimate the price impact on a convertible bond when its underlying stock falls sharply. It describes a second-order approximation using the bond’s delta for the linear component and gamma for the curvature component, then questions…
The document examines the interpretation of Macaulay duration as the time-weighted average at which a bond’s present value is returned through its cash flows. It presents a bond with annual coupon and principal payments discounted at a constant yield, then…
The document asks how Arrow–Debreu prices relate intuitively to Green’s functions, especially in the Black–Derman–Toy interest-rate model. It notes that some model discussions use “Green’s function” or “pricing kernel” without explaining the connection to…
The document examines why a called corporate bond may still show market prices after its effective call date and asks how to treat accrued interest during the gap before settlement. It explains that call notice periods and call schedules vary, and…
The document asks whether comparing bond yield to maturity is less informative for relative-value analysis than comparing yield to duration. The concern is that bonds with the same maturity can have different coupons and therefore different yields, even when…
The document discusses the Cox–Ingersoll–Ross short-rate process, which combines mean-reverting drift with volatility that scales with the square root of the rate. It responds to a question about converting that process to standard Brownian motion and notes…
The document asks whether a European swaption can be priced equivalently under the risk-neutral measure and the forward swap measure, using the swap annuity as numeraire. The key correction is that the annuity at expiry is stochastic because it depends on…
The discussion explains why holding a Treasury futures contract to expiration does not imply a loss equal to a simple difference between a quoted yield and a repo rate. Under the stated assumption that rates and market prices do not move, the futures price…
The document asks which computer algebra system can help reproduce financial pricing formulas, using a year-on-year inflation swap under the Jarrow–Yildirim model as an example. The motivation is to check mathematical derivations against code and avoid…
The note explains the negative sign in the first-order relationship between a bond’s price change and its yield change. Modified duration is conventionally positive for an ordinary bond, while bond prices and yields move in opposite directions: a yield…
The document diagnoses a small discrepancy between a fixed-rate bond price from QuantLib and prices obtained from a spreadsheet or another pricer. The example specifies a semiannual coupon bond, an evaluation date, a yield, and an Actual/Actual day-count…
The document discusses how to build the sub-one-year portion of an inflation curve from zero-coupon inflation swaps. It describes three possible inputs: broker monthly fixings, published CPI values with seasonal factors and the one-year market quote, or…
The document asks why an overnight indexed swap (OIS) par rate cannot simply be converted into a discount factor using a single-period formula. The response explains that discount factors at longer maturities must remain consistent with discount factors…
The document explains why a one-factor Vasicek credit model weights its common and idiosyncratic standard-normal components by the square roots of the correlation and its complement. If each asset has unit variance and shares a common factor, the common…
The document compares one-month and three-month Term SOFR and asks how tenor relates to discounting cash flows. Its answers describe Term SOFR as an annualized rate derived from expected overnight SOFR over the relevant period, with the rate reflecting…
The document explains how to price fixed-rate bonds in QuantLib when the discounting term structure is non-flat. It distinguishes a curve built from zero rates, which requires maturities and corresponding yields, from one built directly from discount…
The document answers which currencies LIBOR covered over time. It notes the original set of U.S. dollars, British pounds, and Deutsche marks, then identifies five currencies discontinued in a 2013 reform: New Zealand dollars, Danish kroner, Swedish kronor,…
The document asks whether expanding the money supply can fund public services in a low-growth, deflationary economy, and whether quantitative easing should be understood as government money creation rather than genuine borrowing. It points to central-bank…
The document discusses a sovereign credit default swap pricing formula that produces negative values when the market spread is below the contract’s fixed coupon. The question focuses on contracts with a stated coupon, for which this outcome occurs often, and…
The document discusses gathering historical listed-option chains and interest-rate inputs for model-free implied-volatility research across several equity indices. It describes using a date override to retrieve historical option tickers for more recent…
The document explains which coupon an investor receives when trading a bond near a scheduled payment. On an ex-coupon date, the buyer does not receive the imminent coupon; the next coupon in the buyer’s cash-flow stream is the following one. This distinction…
The document sets up the Cox–Ingersoll–Ross short-rate model, with mean-reverting drift and volatility proportional to the square root of the rate. It applies an exponential-affine form to bond value and gives the resulting differential equation for the…
The document considers how to model monthly prepayments for a mortgage-backed securities sector when the dataset contains millions of loans over several years. It asks whether to aggregate loan observations by month using weighted averages of explanatory…
The document discusses the settlement convention for US corporate bond trades and the transition from T+3 to T+2 in September 2017. It reports the author’s understanding that T+3 applied before the change and that the shorter T+2 cycle took effect on…