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.
4,574 documents
The document introduces practical conventions for a JPY-USD cross-currency basis swap. It describes the usual start lag after trade date, the exchange of notionals at the spot exchange rate set when the trade is executed, and the common convention for…
This note examines how spot delta and forward delta relate through put–call parity. Differentiating the parity relationship with respect to spot gives a call-minus-put delta of one, while differentiating with respect to the forward gives a discounted…
The document examines a USD-settled payoff tied to the return of the EUR-denominated DAX and asks whether it removes foreign-exchange risk. Under constant interest rates and volatilities, it sets out correlated diffusion models for the FX rate and index,…
The discussion weighs local computer specifications against remote servers for automated trading, real-time data work, and historical testing. It suggests that tick-data simulations can benefit from SSD storage and multiple processor cores, while…
The document surveys ways to connect a Python trading strategy to brokers for sending, modifying, and closing orders. The responses mention MetaApi’s cloud SDK as a route to brokers that support MetaTrader, Interactive Brokers’ API for several asset classes,…
The document explains how FX forwards can represent the cashflows of a cross-currency basis swap when combined with interest-rate swaps. It builds the argument in stages: an FX swap can be represented by two opposing FX exchanges, and a single-period FX swap…
The document asks how selling part of a leveraged euro position affects borrowed funds and reinvestable profit. Its answer discusses FX futures and says that, in that setting, proceeds from selling a portion do not directly repay a spot-style loan. Instead,…
The post asks whether a later EUR/USD forward rate can be estimated from a quoted one-year forward and assumed flat short rates. The proposed method applies a spot-forward relationship: infer the spot exchange rate from the known forward and the two…
The document frames a research question about whether movements in an FX pair’s midprice on a higher-volume exchange can predict subsequent movements on a lower-volume exchange. The proposed target is whether the second venue’s midprice rises within a chosen…
The note distinguishes three concepts in a credit default swap: the reference entity, the reference obligation, and the currency of the contract. A reference entity is the debtor, not an entity with a single currency denomination. Its debt instruments may be…
The document explains that receiving outright in a forward-starting interest rate swap means receiving the fixed rate and paying the floating rate over the swap’s term. In the stated example, the swap begins in six months and runs for two years. The term…
The document asks how a USD-based backtest should account for a trade in a currency cross, using EUR/GBP as its example. One proposed approach explicitly converts USD into the currencies needed to enter and exit the position; the other tracks the cross’s…
The document investigates why QuantLib’s daily valuations of a short-dated FX option diverge from Bloomberg on some dates, despite matching on several others. The accepted answer identifies differing date conventions: Bloomberg distinguishes the pricing…
The discussion compares using an average exchange rate over the royalty earning period with using the rate at quarter end when royalties are paid in a different currency from product sales. It frames the choice first as a currency risk decision: fixing the…
The document examines a foreign-exchange vanilla option pricing exercise and a small difference between a textbook result and an Excel calculation. The response says the calculation is correct under the stated setup and attributes the discrepancy to how the…
The document asks how to read the dot between volatility vectors and Brownian motion in a derivation of the quanto adjustment. It also asks why multiplying the foreign asset price by the exchange rate produces a domestic currency value and whether that…
The document concerns calibration of an FX volatility surface from quoted deltas, focusing on converting premium-adjusted forward deltas into strikes. It gives the premium-adjusted delta expression, which includes the strike-to-forward ratio and a normal…
The document explains how to infer one currency’s interest rate from spot and forward FX rates when the other currency’s rate is known. It applies interest rate parity, adjusting each rate for its own day-count convention over the swap’s accrual period. The…
The discussion outlines ways to separate currency effects from local-market allocation and security selection when portfolio and benchmark weights and returns are available. One approach measures currency value added with a simple currency attribution, then…
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 addresses where Yahoo Finance obtains foreign exchange data and why its daily bars may differ from charts or other providers. The accepted answer identifies ICE Data Services as Yahoo’s source and explains that OTC currency quotes are aggregated…
The document considers how to connect a forecast driven trading system to Kelly sizing. The example code estimates probabilities from forecast data, derives candidate stakes for long and short positions, updates a bankroll sequentially, and calculates…
The document derives the value of a forward exchange rate at a future observation date and its expectation from today. Under the domestic risk-neutral measure, the exchange rate for foreign currency in domestic units has drift equal to the domestic interest…
The note addresses what causes exchange rates to fluctuate and asks how individual price ticks arise, using EUR/USD as an example. Its answer gives a high-level explanation: prices respond to imbalances in supply and demand. It points to political isolation…