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 explains a two-stage approach to building an OIS discount curve and a separate LIBOR projection curve. The question concerns whether the OIS curve can be estimated when LIBOR-OIS basis swap quotes are unavailable beyond the maturities covered by…
The document raises a conceptual question about the choice of numéraire when defining a risk-neutral measure in currency markets. It challenges the statement that the money market account, rather than currency itself, is the relevant numéraire because…
The document examines why a QuantLib Nelson–Siegel fitted bond discount curve can return a zero rate that differs from what a user expects from the input bond prices and coupons. The example changes one coupon while keeping the bonds priced at par; the…
The document compares ways to alter a 2s5s10s swap butterfly so its exposure to broad curve movements is reduced while keeping the 5-year body weight at two. It describes three approaches: hedge the first principal component of 2-year, 5-year, and 10-year…
The document poses a parameter-estimation problem for simulating bond-index prices with a one-factor Hull–White stochastic differential equation whose drift, mean-reversion, and volatility terms may vary over time. The author proposes estimating the…
The document discusses whether trades in US Treasury securities reported through TRACE are visible to the public. It distinguishes reporting obligations from public access: the question states that RFQ trades must be reported, while the replies describe a…
The document explains how letter-and-digit maturity codes can identify futures delivery months and how those dates may be used when reading a curve. The letters H, M, U, and Z correspond to March, June, September, and December, while the digit gives the…
The document raises a valuation question about total return swaps (TRS). Its author describes deriving risk neutral survival and default probabilities from risk free and spread adjusted rates, then using those probabilities to adjust swap cash flows,…
The document examines how to combine one-period risk-neutral pricing relations into a multi-period price when only short-maturity risk-free bonds are available. It writes successive pricing steps using expectations under measures labeled for each period,…
The document discusses estimating parameters in the Cox-Ingersoll-Ross model using conditional least squares (CLS). Its motivating example models cumulative capital calls for a private equity fund from quarterly observations, with a relatively short sample…
The note compares XIRR outputs from Google Sheets, LibreOffice Calc, Excel, and a separate implementation. The first three results are nearly identical, while Excel differs slightly. The response attributes this to Excel's iterative solver, which stops when…
The discussion explains why asset swap spreads on a fixed-rate bond and a same-issuer floating-rate bond need not match, even when their maturities and issue dates are similar. A quoted spread is only useful as a relative-value signal if traders can…
The document explains how principal and par value are used when discussing bonds. In common usage, both terms can refer to the amount paid at maturity, and nominal value is also used in that sense. Principal can describe the total maturity payment, including…
The document explains why directly shorting municipal bonds can be difficult: short sellers generally need to borrow bonds, and tax-exempt interest economics can make lenders unwilling to lend them. A derivative referencing the bonds may not remove this…
The document concerns discretizing the conditional variance of a continuous-time arbitrage-free dynamic Nelson–Siegel factor model for use with a Kalman filter on yield data. The variance is expressed as an integral over the sampling interval of matrix…
The document addresses how to initialize a nonlinear fit of Nelson–Siegel–Svensson parameters to observed government bond prices. Its suggested procedure is to fix the decay parameter, estimate the remaining coefficients with ordinary least squares, and…
The document explains how to translate a rating-based default probability into an approximate credit spread. It starts with a transition matrix as a Markov chain: repeated matrix multiplication produces a cumulative probability of default over a chosen…
The document is a question about selecting discount curves for pricing government bonds across developed and emerging markets. It contrasts using overnight index swap rates for each currency with constructing curves from government zero-coupon rates, and…
The document presents a professional-ethics scenario involving an investment manager who learns that a client is under investigation for alleged tax evasion. She shares the information with a friend at an investment bank, whose firm is considering taking the…
The document compares ordinary least-squares projection onto the leading principal components with an attempted machine-learning approach. It raises practical concerns about representing each component's weight vector as model inputs and about digitizing…
The document presents a bond-pricing question about estimating Nelson–Siegel–Svensson parameters through nonlinear optimization. The author reports extremely small discount factors and shares a calculation that converts payment dates into year fractions…
The document explains how to infer zero rates sequentially from bond prices under a piecewise-constant rate assumption. For the first one-year bond, it discounts the half-year coupon and the year-end coupon plus principal using one unknown rate, then sets…
The document asks whether a Nelson–Siegel–Svensson sovereign zero-coupon yield curve can be calibrated using prices of both coupon-bearing and zero-coupon bonds. It explains that the fitting procedure can treat both instruments alike: a zero-coupon bond is…
The document considers modeling an unsecured funding spread as a geometric Brownian motion while treating the short risk-free rate as fixed. Because the spread starts positive and evolves multiplicatively, the model keeps it positive, so the resulting…