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 discounted price processes from conditional expectations under risk-neutral and forward measures. Under the risk-neutral measure, the value of a claim discounted by the money-market account is a martingale. Under the…
The question asks how to price a zero-coupon swap in QuantLib after receiving an attribute error for the requested instrument. The accepted reply shows a Python example using QuantLib 1.30: it sets an evaluation date, builds a discount curve from discount…
The document considers yield-to-first-call analysis for a portfolio of callable extended warehouse lines. The central question is whether lines that are currently callable should all be treated as repaying immediately in a portfolio scenario. The response…
The document outlines a least-squares Monte Carlo setup for valuing a Bermudan swaption. At the final exercise date, the payoff is the positive part of the underlying swap value. At earlier exercise dates, the method regresses discounted future swaption…
The document addresses whether the maturity date of a Treasury bill or bond can be decoded from its CUSIP. Although parts of a CUSIP follow an assignment structure, the issue identifier is not a dependable maturity code: it is assigned to securities rather…
The document explains the key-rate duration behavior of a Eurodollar futures contract by relating its value to a forward three-month LIBOR rate. The question concerns a down shock to the three-month spot key rate that appears to increase the corresponding…
The document describes how to bootstrap a Chinese renminbi interest-rate curve from a short deposit quote and Shibor-linked swap rates in QuantLib. It uses deposit and swap rate helpers to build a piecewise cubic zero curve, then obtains zero rates at the…
The document explains how to derive a two-year swap yield from a sequence of Eurodollar futures rates. It says Bloomberg’s displayed Rate column is already convexity adjusted, so the calculation can use those rates as period growth inputs rather than…
The document asks how to derive a pricing equation for a zero-coupon bond when the short rate follows a Vasicek process. It defines the bond value as the conditional expected discount factor over the remaining term and gives the short-rate stochastic…
The document explains that interest rate derivatives can be valued or hedged by matching their cash flows or market sensitivities with traded instruments. Possible building blocks include money market accounts, swaps, forward rate agreements, and zero-coupon…
The document asks how to estimate the size of a particular bank’s trading book using only its annual financial report. Its answer points to regulatory reporting requirements that distinguish trading book positions from banking book positions, suggesting that…
The document outlines ways to obtain historical daily prices for U.S. Treasury inflation-protected securities, including issues that have matured. It describes using TreasuryDirect to identify CUSIPs across current and matured securities, then retrieving…
The document asks how to construct a credit spread for a fixed-income bond by subtracting a risk-free benchmark yield. It describes two measures from policy papers: yield to maturity less a similar-duration overnight index swap rate, and effective yield less…
The document asks what credit exposure is reflected in the fixed leg of a five-year swap exchanging fixed payments for three-month LIBOR, while setting aside counterparty risk. The response explains that LIBOR represents unsecured interbank borrowing offers,…
The document explains how to interpret Treasury yield curve tenors when assigning calendar dates before fitting a curve with cubic splines. Its answer recommends advancing by calendar months for month-based terms and by calendar years for year-based terms,…
The document examines whether CMS options should be replicated with cash-settled or physically settled swaptions. The key distinction is the annuity used in settlement. Physical settlement uses a delivery annuity based on discount factors, while cash…
The document discusses apparent jumps in US Treasury price and yield series around new auctions, especially when a rolling on-the-run bond is replaced. Whether to adjust the data depends on its intended use. For historical backtesting, preserving as-of data…
The document explains why interest rate traders often define rho differently from the Black–Scholes sensitivity to a single interest rate. For options on forwards priced with the Black formula, the rate does not appear in the option formula itself;…
The document explains why a 25-year Treasury can show a higher yield than a 30-year Treasury even when the underlying par and forward curves are not inverted. Yield is the constant discount rate that reproduces a bond’s current price, not an expected return,…
The document explains common date and fixing mistakes when building a CPI-linked bond in QuantLib with historical CPI observations and assumed zero future inflation. The answer clarifies that the inflation curve reference date should correspond to the…
The document compares two ways to simulate short rate paths under the Vasicek model. One uses the model’s exact conditional transition over each time step, while the other applies an Euler approximation to the mean-reverting stochastic differential equation.…
Bonds can share a price and yield while having different convexities because their maturities and cash flow timing differ. The examples contrast a bond close to maturity with a much longer bond and describe how a flat yield curve can also produce equal…
The post concerns indexing a discrete approximation to zero-coupon bond prices when rates are sampled on a time grid. The reply emphasizes distinguishing the money-market accumulation factor from the discount factor: the latter is the reciprocal and uses a…
The discussion explains why bonds of different maturities have perfectly correlated instantaneous returns in a one-factor short-rate model. In Vasicek, each zero-coupon bond price depends on time to maturity and the single stochastic short rate. Applying…