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 questions whether increased short positions in U.S. Treasury futures could explain rising Treasury yields, given that a futures short may ultimately require acquiring the deliverable bond. One response distinguishes a futures position from an…
The document investigates why QuantLib and Bloomberg produce different clean prices for a Canadian fixed-rate corporate bond. It explains that Canadian bond calculations can use ACT/365 Fixed for settlement accrued interest while using ACT/ACT ISMA for yield…
The document reports two problems with RQuantLib’s Bermudan swaption function: an error saying the effective date is at or beyond the termination date, followed by rejection of a negative zero rate when the term structure is supplied. The question includes…
This question examines a QuantLib error encountered while bootstrapping a yield curve from quarterly SOFR futures. The supplied setup builds futures rate helpers and a piecewise linear zero curve; the reported failure refers to a missing SOFR overnight…
The question concerns constructing quarterly forward rates from USD Libor swap quotes spanning maturities from one to fifty years. The accepted answer identifies the main setup problem: the proposed curve contains only two rate helpers, a zero-rate long…
The document asks whether a buy-side trader can adjust interest rate option models to reflect a directional view on forward rates, including the fact that central bank rates move in fixed increments. The response says to price swaptions, caps, and floors…
The document explains that taking a futures position does not mean receiving its quoted price immediately. Futures are marked to market through daily margin payments, which reset the position’s net present value to zero each day. By contrast, a forward…
The document distinguishes stripped mortgage-backed securities with interest-only and principal-only classes from IO or PO classes created inside a collateralized mortgage obligation. In the former structure, a mega pool issues paired classes that may,…
The document asks whether using coupon-bearing bonds to derive zero-coupon rates is circular when those rates are then used to value coupon bonds. The answer explains that markets often lack traded zero-coupon instruments, especially at longer maturities, so…
The document describes difficulties obtaining historical intraday bid and ask data for government bonds through Bloomberg. Its examples use one-minute bar requests for five- and ten-year benchmarks across countries, and raise two problems: a benchmark-rate…
The document asks why a Libor Market Model (LMM) simulated under the spot measure produces a future one-year rate whose average exceeds the initial flat forward rate. It presents a discretized LMM update with constant volatility and a flat curve, then…
The document asks how to create an overnight indexed swap with a specified maturity date while retaining a payment lag in QuantLib. It contrasts a convenience builder that accepts a tenor and payment-lag setting with direct construction of the swap, which…
The document asks what rate to use when discounting a future payment made directly in gold. One answer derives an asset-denominated discount factor from the ratio of the asset’s forward price to its spot price, with the quotation currency canceling out. This…
The document explains how the Vasicek short-rate process changes when moving from the risk-neutral measure to the measure associated with a zero-coupon bond maturing at time T. The key step is a change of Brownian motion: the risk-neutral Brownian increment…
The document sets up a payer swaption payoff using a forward swap rate and an annuity numeraire, then changes from the forward measure to the annuity measure to express the price as an expectation of the positive part of the rate difference. It asks how to…
The document addresses how to construct the floating-rate index for an MXN TIIE vanilla swap when calculating DV01 with QuantLib. The example first defines a TIIE index for rate helpers, then needs a corresponding index linked to the forecast term structure…
The discussion asks whether a bond’s current yield must exceed its coupon rate whenever its yield to maturity is higher. It also considers the related claim that a bond with yield to maturity above its coupon rate trades below its maturity value. The…
The discussion frames pandemics as severe, low-frequency risks that are difficult to estimate from limited historical data. It does not provide a quantitative pricing model or specify model inputs, so it offers no method for estimating pandemic probabilities…
The note explains how to interpret Eurodollar futures prices when considering the volatility of options on the contract. Eurodollar futures are quoted near 100 minus an interest rate, so the answer converts a futures price into its corresponding rate by…
The document asks why trade credit extended by a foreign direct investor to an affiliate is classified as investment when it may not pay interest or another explicit return. It places the question within the debt component of foreign direct investment and…
The document explains how the risk-neutral pricing condition constrains an asset’s drift relative to the money-market account used as numéraire. Under its stated assumptions—Itô diffusion dynamics, a riskless account without stochastic variation, and local…
The document derives the dynamics of a forward bond under the measure associated with a zero-coupon bond maturing at the forward delivery date. It starts with risk-neutral dynamics for the money market account and two zero-coupon bonds, then applies Itô’s…
The document compares ways to access interest rate swaption implied volatility data. It points to a daily volatility surface published by CME and describes Bloomberg screens that provide normalized or at-the-money-forward volatility across option expiries,…
The document asks whether the Cox–Ingersoll–Ross short-rate stochastic differential equation has a closed-form solution or a useful analytical proxy. The motivation is to assess a numerical simulation by comparing simulated values with a true process and…