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 for a derivation of the convexity adjustment between forward rate agreements and futures rates under the Ho–Lee short-rate model. It specifies that the short rate evolves with a time-dependent drift and constant volatility, and states a…
The document examines whether cash and government bonds are interchangeable when posted as collateral for borrowing a stock. The accepted answer explains that cash collateral typically earns or pays an agreed rate, such as a rate linked to federal funds,…
The document addresses the relationship between an asset's spot price and its forward price for delivery at a future date. Its central intuition is that a zero-coupon bond paying one unit at delivery represents the discount factor for that date. Dividing the…
The document explains how to price a European put option on a zero-coupon bond under the Cox-Ingersoll-Ross (CIR) interest-rate model. It derives the put price from the corresponding bond call price using put-call parity: the put equals the call less the…
The document discusses extending an FX curve beyond the maturity range covered by FX swaps, using cross-currency swaps (CCS) or non-deliverable swaps (NDS). It asks whether QuantLib can support these instruments as curve-building inputs. The answer…
The document points readers interested in yield curve spread trading with Treasury futures toward CME Group educational pamphlets on inter-commodity interest rate spreads and yield curve spread trades. It names the topic through examples such as NOL, NOB,…
The document considers how to study spreads between maturities on the same government issuer’s yield curve. It raises credit risk, liquidity, risk aversion, and crisis periods as possible explanatory factors, and asks whether differencing the series before…
The note explains why a constant maturity swap payoff cannot generally be priced by simply replacing a LIBOR rate with a swap rate in a standard floating-leg formula. A CMS rate is fixed on one date and may be paid later. Pricing under the swap annuity…
The note addresses whether nominal spot rates alone can determine both real interest rates and expected inflation through the Fisher relationship. Its proposed market-based route is to use inflation-linked government bonds. Their quoted prices can account…
The note explains the distinction between clean and dirty bond prices. Bonds are typically quoted at a clean price, which excludes accrued interest and makes quoted prices easier to compare. At trade settlement, the buyer also pays the seller the interest…
The document explains why a callable convertible bond’s value may respond only weakly to changes in its credit spread when priced with QuantLib’s binomial convertible engine. The setup mistakenly calculates the conversion ratio using a note face value of…
The document asks how changing the assumed stock-price loss at default affects the Greeks of a convertible bond under a risk-neutral jump-diffusion model. It presents a stock-price process with a diffusion component, a Poisson default event, and a drift term…
The document derives a continuously compounded forward rate from an FRA whose floating payment is based on the growth of a zero-coupon bond over the accrual period. It relates the bond price to the rate through exponential accumulation, then writes the FRA…
The document examines why an ordinary least squares initialization for fitting a Nelson–Siegel–Svensson yield curve may not reproduce a reference set of parameters. The questioner uses selected on-the-run US Treasury maturities to estimate starting values…
The document derives a monthly principal repayment schedule for a fixed-payment loan. It starts with a recurrence for the outstanding balance: each month’s balance accrues periodic interest and then the regular payment is subtracted. From the resulting…
The document asks whether an exported Bloomberg EUR OIS curve needs to be bootstrapped before it can be used to price a fixed-rate bond, or whether its points can simply be interpolated for discounting cash flows. The answer identifies the referenced curve…
This discussion explains two profit-and-loss measures used in value-at-risk backtesting. Hypothetical or clean P&L revalues the positions held at the prior day’s close using market data observed on the current day. It holds positions static, so the result…
The document asks how to position for a change in the Treasury yield curve while a five-year corporate bond’s credit spread remains constant. It contrasts a duration-neutral trade using Treasuries at different maturities with a proposed trade that shorts the…
The document asks whether finance is likely to adopt one global day count convention and whether an existing convention could become the standard. The answer says a universal change is unlikely: conventions arose from established market practice, and…
The document discusses how a credit spread on a floating swap leg fits into multicurve valuation. Its central guidance is to add the spread to the projected floating rate used to calculate payments, while leaving the OIS discount curve unchanged. It also…
The document explains why a Python bond-pricing result for a reopened U.S. Treasury note may differ from a vendor quote. The key issue is the applicable market convention for accrued interest and the adjusted accrual period. The answer recommends using a…
The question reports that a rateslib SOFR curve calibration fails when weekend dates lack fixings, even though SOFR is not published on weekends. The answer offers a small demonstration using a floating accrual period and two otherwise similar curves: one…
The discussion describes how to infer default probabilities from credit default swap data for counterparty valuation adjustments. A standard approach starts with the shortest maturity and assumes a constant hazard rate over that interval. For each later…
The document surveys ways abstract algebra and neighboring mathematical frameworks have been applied to economics, finance, and accounting. It mentions quantum mechanics and field theory in interest rate research, Lie groups for interest rate models,…