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 discussion explains why FX forwards may depart from the relationship implied by two quoted money-market rates. In practice, banks cannot necessarily borrow and lend independently at those rates; they often transact through the currency basis swap market.…
The document asks how to calculate the settlement-date dirty price of a semiannual US Treasury bond. It gives a bond with stated par, coupon, yield, coupon dates, maturity, and settlement date. The author first values the remaining cash flows as of the…
The document discusses representing loans with unusual cash flows in QuantLib, including structures where principal can increase rather than amortize. QuantLib’s Bond class assumes an initial notional that is later repaid in full or through amortization, so…
The document explains how to derive the partial differential equation for the conditional expectation of an exponential function of a future Cox–Ingersoll–Ross short rate. Applying Itô’s lemma to the conditional expectation gives a stochastic differential;…
The note clarifies that clean and dirty prices are distinguished by whether accrued coupon interest is included, not by whether the bond is risky or by the method used to discount its cash flows. A dirty price includes interest accrued since the last coupon…
The document explains defeasance as a way to economically set aside funds against debt without immediately prepaying a loan that carries prepayment penalties. Dedicated cash or assets are placed in an escrow or similar account so their principal and interest…
The document explains a portfolio-search mechanism linking lower policy rates to tighter corporate bond spreads. When deposit and money market yields fall, investors seeking income may move farther along the yield curve and accept more credit risk. Increased…
The document answers a request for a free way to look up corporate bond issues by issuer and maturity, with a focus on public issues by Rio de Janeiro. It points to Brazilian debenture listings and explains that a downloadable CSV provides issue records and…
The document presents a QuantLib setup for constructing a Chilean peso overnight indexed swap curve against the Camara reference. It supplies deposit quotes at short maturities and overnight swap quotes across longer maturities, then uses rate helpers and a…
This explanation describes how interest rates and dividend yields affect values over time. For a deterministic rate, continuously compounded growth is represented by integrating the rate across the time interval and exponentiating the result; discounting…
The answer frames discounting as a central asset-pricing question. Under the expectation-based pricing setup described, a security’s current price is the conditional expectation of its future payoff multiplied by a stochastic discount factor. The factor’s…
The post considers whether pricing quant work will remain viable as regulation tightens, exotic products decline, and some bank teams shrink. The answer argues that pricing and hedging expertise will still be needed because financial firms continue to…
The document explains how SOFR overnight indexed swaps can provide discount factors for valuing future cash flows. It first places SOFR discounting in context: USD swaps had already moved from LIBOR to overnight benchmarks, and cleared portfolios had…
The document describes a calibration issue in a LIBOR market model after introducing skew through a shifted diffusion. Instead of modeling each forward rate with volatility proportional to the rate itself, the author uses volatility proportional to the…
The document shows how to infer spot rates from the prices and cash flows of semiannual coupon bonds. For a bond whose only payment occurs at maturity, the price is equated to the discounted coupon plus principal, which gives the rate for that maturity…
The document explains how to infer market-implied probabilities of Federal Reserve rate changes from fed funds futures. A basic method converts the futures-implied rate after a meeting into a probability-weighted average of possible outcomes, such as no…
The document explains how to use net present value when evaluating a public project that generates no direct revenue. Its example compares rebuilding a road with continued maintenance, where both options may have negative standalone cash flows. The suggested…
The document explains how to evaluate sovereign credit default swap hedges in a portfolio of sovereign and corporate bonds. It separates jump-to-default exposure from spread sensitivity: sovereign CDS protection may offset sovereign credit spread risk, but…
The document examines a process defined by integrating a stochastic function over an interval whose lower limit moves with time. The question is whether its differential consists of a boundary term, involving the value of the process on the diagonal, plus an…
The document addresses how to map a sequence of up and down moves in a short rate tree to the interest rate at a later node. It recommends simplifying the spreadsheet logic by counting the number of up moves rather than evaluating every possible path…
The discussion considers whether carbon emissions or environmental regulation may relate to an organization’s default risk. It cites research associating environmental concerns and liabilities with higher borrowing costs, lower credit ratings, or changes in…
The document raises a modeling question about which form of probability of default belongs in a term structure used to calculate lifetime loss given default. It distinguishes, at a high level, conditional default probabilities from unconditional…
The document asks how Treasury bill and coupon settlements can reduce reserves in the banking system and contribute to funding stress. It frames the question around the September repo market disruption and reports that Treasury settlements and corporate tax…
The document compares the Markov property of short rates in Heath–Jarrow–Morton (HJM) and Vasicek models. In HJM, the short rate is obtained by evaluating the forward rate at the current date, and its expression contains a stochastic integral whose integrand…