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 distinguishes two conventions for compounded overnight-rate swap coupons. In a lookback without an observation period shift, each daily rate observation is moved earlier by a set number of business days, while the accrual weights remain tied to…
The document explains that the right bond comparison measure depends on the task. For an indicative price on an illiquid bond, it describes interpolating between observable bonds that mature earlier and later. For amortizing bonds, weighted average life may…
The document compares tick and minimum trade sizes for BrokerTec U.S. Treasury central limit order books. It reports that the existing venue uses different price increments across Treasury maturities, with quotes expressed per $100 of face value and a…
The document proposes a heatmap for showing how often obligors remain in each credit rating class from one period to the next. Ratings occupy one axis and time intervals the other; color represents the proportion that kept the same rating. This puts many…
The discussion examines a long-dated equity index call whose hedged profit and loss appears sensitive to interest rates. It questions whether a standard Black–Scholes formula using a current LIBOR rate and ordinary delta hedging remains appropriate when…
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 asks how to set the fixed-leg payment frequency when pricing an interest rate swap in MATLAB. The accepted response identifies a reset-frequency name-value setting as the relevant parameter, rather than the period option used in a bond-pricing…
The document addresses the lack of long histories for Treasury bond ETFs, especially leveraged funds, when backtesting portfolios over periods earlier than those products existed. It suggests using long bond futures as a proxy source of historical exposure…
The document raises a conceptual question about the one-factor and multi-factor Hull-White interest rate models. The author understands that the one-factor model has limited ability to represent yield-curve movements, and asks which parameters govern a curve…
The document asks how to express a receiver interest rate swap as a sequence of forward rate agreements. It starts from the swap’s discounted fixed-minus-floating cash flows, then compares those payments with forward-rate terms based on discount factors. The…
The document considers whether a swap must be hedged with another derivative or can instead be hedged using cash products such as equities or foreign exchange. Its answer is contract dependent: the key issue is whether the swap’s underlying exposures…
The document asks how to choose the risk-free rate when calculating a Sharpe ratio over a period in which daily annualized returns and their average and volatility are known. It questions whether using the average one-year Treasury yield over that period is…
The document asks why financing rates implied by synthetic equity forwards are near money-market benchmarks for easy-to-borrow stocks in some regions, while appearing higher relative to the cited benchmark in the United States. It focuses on the repo…
The document asks where to obtain long histories of arbitrage basis measures, such as the difference between on-the-run and off-the-run securities. It offers both direct sources for precomputed measures and sources from which researchers could assemble their…
The document defines a contingent payment at the later date: it pays only if the risky issuer’s earlier-maturing bond pays in full and its later-maturing bond defaults. It asks whether risk-free and risky zero-coupon bonds at the two maturities can replicate…
The document explains why credit risk management may distinguish wholesale exposures from other credit categories: the term is part of the Basel model taxonomy used in capital adequacy standards. It reports that banks group exposures into wholesale, retail,…
The document considers how to price swaptions at expiry and tenor points that were not directly calibrated, using a SABR volatility cube built from market observations. One proposed practice is to interpolate total implied variance across the cube for the…
The document addresses whether a Bloomberg swaption premium quote represents a payer or receiver option when calibrating a Hull–White model. The answer says the cited quote is for a straddle, so its premium combines payer and receiver values. It points to…
The document distinguishes the forecasts implied by stochastic interest rate models from their common use in pricing derivatives. A random walk model keeps the expected future short rate at its current level, while a Vasicek model makes the expected rate…
The document explains why interest rate parity using two money market curves and spot FX may not reproduce traded FX forward prices. A cross-currency basis captures the difference between the parity-implied result and market pricing, reflecting funding…
The document presents a bond pricing mismatch: a fixed-coupon bond's calculated price is about a dollar away from a Bloomberg screen, and the questioner suspects the day-count convention. The accepted response says the quoted value appears correct and points…
The document describes an attempt to calculate the effective annual yield to maturity of a zero-coupon bond using rateslib. It provides a settlement date, a 30/360 day-count convention, and a bond setup with annual frequency, zero coupon, and a specified…
The document explains how to value a foreign-currency floating-rate coupon in domestic currency using either the foreign or domestic T-forward measure. Under covered interest rate parity, converting the foreign-measure value at spot is equivalent to applying…
The document explains a QuantLib schedule issue for a quarterly coupon bond with a long initial stub. A forward schedule anchored to the June stub date of June 30 continues using the 30th for later quarterly dates when end-of-month handling is disabled.…