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 a time-varying market price of risk in a one-factor Vasicek short-rate model, and whether the familiar excess-return-over-volatility formula applies. It describes two perspectives: statistical estimation under the real-world…
The document asks how a bond futures carry measure can make sense when a futures holder does not directly receive the underlying bond’s coupons or pay its repo funding. The cited index description ranks eligible government bond futures by estimated carry,…
The document asks why new capital did not simply arbitrage away Treasury relative-value dislocations during LTCM’s 1998 crisis. It describes a convergence trade involving Treasury positions and questions whether funding, borrow availability, or a liquidity…
The document clarifies that FRED’s three-month Treasury bill series reports an annualized yield, while “three-month” refers to the bill’s maturity. The example rate is therefore not the return earned over a single three-month holding period. Treasury bills…
The document considers how to build a total return time series for interest rate swaps, including market-value changes and carry or roll, for use in trend-following research. One suggested route is to use an existing swap total-return index if accessible.…
The document explains the BUS/252 convention, which measures accrual over a period by counting business days and dividing by 252. It clarifies that the relevant business days are weekdays after excluding holidays according to the applicable settlement…
The document explores why very long maturity interest rates can fall below rates at somewhat shorter maturities. Its answers emphasize convexity: longer bonds and forward-starting swaps generally have greater convexity, so their values respond more strongly…
The document asks how to infer spot rates at several maturities from three coupon bonds, and how to derive a forward rate from those spot rates. Its central lesson is that a bond’s yield or accrued interest alone does not identify the spot rate for its…
The document describes a QuantLib-Python issue encountered when changing a historical fixing that has already been added to a floating-rate index. Adding the same date again raises a duplicate-fixing error. Although the underlying API has a force-overwrite…
The document poses a question about interpreting an ordinary least squares regression of a stock’s three-month holding-period returns on the ten-year Treasury yield. It uses a hypothetical coefficient to illustrate how a change in yields would be associated…
The document asks how to interpret and calibrate selling intensity and loss intensity in a liquidity stress test for a portfolio of equities and bonds. It introduces a cash conversion factor that combines a liquidity factor, based on selling intensity over…
The document explains why reading a single SOFR fixing at a coupon date does not reproduce the rate paid on a compounded-in-arrears SOFR bond. A floating-rate coupon based on term rates uses one fixing near the period start, while an overnight SOFR coupon…
This explanation fills in algebraic steps from Pat Hagan's convexity analysis under a lognormal model for a rate variable. It derives the expected squared deviation by expanding the expression and applying the normal exponential moment, yielding a…
This note explains why QuantLib may reject clean-price calculations for a zero-coupon bond when the settlement date falls after maturity. The library models the bond as no longer tradable on that settlement date, even though a holder immediately before…
The document addresses a question about replicating a call option on a six-month zero-coupon bond, with the option expiring in six months. The questioner identifies the bond at the option’s expiry as the underlying and asks why the replication equation also…
The document derives the survival probability between two credit-curve nodes by linearly interpolating the logarithms of the endpoint probabilities. Since each node’s log survival probability equals minus its time multiplied by its cumulative hazard,…
The document considers how to create yield-to-maturity data for testing curve-fitting methods such as Nelson–Siegel and cubic splines. Its central caution is that independently randomized yields can produce curves that violate no-arbitrage relationships,…
The document explains how to value a three-year coupon bond when the issuer’s credit rating can migrate among rating states or default. It uses the transition matrix to calculate the chance that the issuer remains alive at each payment date, then multiplies…
The document asks why corporate finance treatments use different discount rates for tax shields. It contrasts a textbook discussion that treats depreciation tax shields as safe nominal cash flows, discounted at the firm’s after-tax borrowing rate, with an…
The document investigates why a EUR/USD discount curve bootstrapped from a single cross-currency basis swap helper does not make a constructed EUR leg’s net present value zero. The example builds SOFR and €STR curves, creates a three-month basis quote,…
The document asks whether a liquid, well-functioning market should make a project’s net present value zero. It compares valuing a conventional bond’s cash flows using yield to maturity with valuing an identical project’s cash flows using an opportunity cost…
The document examines whether quantitative easing creates capital for banks when central banks buy bonds and other securities. One account says exchanging riskier assets for reserves can improve regulatory capital ratios and that broader asset price gains…
The document explains how the time-varying drift in the Ho-Lee short-rate model can be recovered from zero-coupon bond prices implied by an initial yield curve. It presents the bond-pricing relationship and shows that the drift function depends on the second…
The document considers a short-front, long-back bond futures calendar roll when both contracts share the same cheapest-to-deliver bond. The trader asks whether a low conversion factor dampens the change in implied repo when the calendar spread widens, and…