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 considers how a swap’s final accrual period should be handled when its stated maturity falls on a Sunday and its schedule uses a modified following convention with U.S. holidays. It contrasts keeping the accrual end on the contractual maturity…
The document outlines possible models for quanto credit default swaps, whose contingent payments use a different currency from the pricing leg. It says there is no single market standard and describes the main modeling components: a dynamic credit or…
The answer explains how to value a dual-currency bond whose payments are converted into the investor's accounting currency. A cross-currency swap can be viewed as a portfolio of FX forwards in a credit-risk-free setting, but a bond issuer may default before…
This response collects resources and outlines ways investors can think about climate-related financial risk across equities, fixed income, derivatives, and portfolios. It distinguishes physical risk from climate impacts, transition risk from policy and…
This QuantLib example explains why maturities reported from a bootstrapped swap curve can differ from the tenor labels supplied as inputs. The curve's time coordinate is calculated using its reference date and day-count convention, so a quoted fifteen-year…
The document asks for approximate parameter choices for a Hull–White model used to simulate forward rates on the US swap curve. It specifies an exponentially decaying HJM volatility shape, where alpha sets the scale and gamma controls how quickly volatility…
The document explains how faster access to prices or faster order transmission can create a temporary advantage across markets. A trader who learns that an asset has changed price in one venue may try to trade in another venue before its prices adjust. The…
The document introduces cross-border risks relevant to Brazilian derivatives, distinguishing transferability from convertibility. Transferability risk is the possibility that local rules prevent repatriating assets held onshore, regardless of the currency in…
The note clarifies the scale of risk-free rate values in the Kenneth French Data Library. Values such as 0.43 and 0.38 are expressed as percentages, rather than as decimal rates. To use them in calculations that expect decimal form, divide each value by 100;…
The document explains that swap DV01 depends on which market curve or input rates are shocked. In older single-curve practice, the floating forecast curve was commonly used because the fixed-leg par curve was treated as a quoting construct. With…
The document asks why interest-rate derivative exposure profiles simulated under risk-neutral and real-world probabilities can have the same value at the valuation date even though their future paths differ. Its brief answer attributes the equality to…
The question asks how to separate the approximate return of a coupon-bearing bond into yield income, roll-down, duration-driven price change, and pull-to-par effects. The response gives a compact decomposition: return is associated with yield minus repo over…
The note gives the Python equivalent of a QuantLib Addin operation that retrieves a discount factor from a yield term structure. The relevant operation is to call the curve’s discount method with the effective date. That factor can then be used to discount a…
The document explains a practical way to price several fixed-rate bonds described in a pandas table. A row-wise function converts each bond’s dates and coupon into a QuantLib bond object. The bonds are assigned a shared discounting engine built from a flat…
The document surveys possible approaches to valuing a loan prepayment option. One response frames prepayment as an option on a bond and recommends calibrating an interest rate model, with tree and simulation methods raised as candidate valuation techniques.…
The document examines a cash-flow explanation for the convexity adjustment between an interest-rate futures contract and a forward rate. Daily variation margin can create an investment or financing effect: a short futures position receives funds when rates…
The document asks how to estimate Vasicek model parameters from market cap prices rather than from a historical sample of interest rates. It describes pricing a cap by summing its caplet prices, with each caplet represented using a zero-coupon bond option,…
The document describes a way to estimate an option market’s implied financing rate when call and put quotes are available across strikes for a fixed expiry. Using bid and ask combinations in put-call parity, it calculates a range of implied forward values at…
The document surveys named stochastic short-rate models, grouping them into one-factor and multifactor families. The one-factor list spans models with constant or time-varying drift and volatility, mean-reverting Gaussian dynamics, square-root volatility,…
The document considers how to estimate risk-neutral currency depreciation conditional on a sovereign default within a fixed horizon. Proposed approaches include quanto CDS spreads and market-implied quanto factors, broker indications, historical default…
The document clarifies the meaning of a RED Code, or Markit Reference Entity Database Code, in the context of credit default swaps. The question asks whether the code uniquely identifies a traded derivative and whether it can be used to obtain that…
The document describes an attempt to reproduce Bloomberg’s RUB versus MosPrime three-month zero curve through a two-year tenor. It outlines a standard bootstrap: derive an initial discount factor from a cash rate, use forward rate agreements to solve for…
Yield to Convention is a Bloomberg field for a bond’s quoted yield under the convention used for that security or market. The label is a catch-all rather than a single universal calculation, so its meaning depends on the relevant market practice. For a bond…
The document compares two ways to estimate the funding valuation adjustment (FVA) for an uncollateralized swap. One approach compares present values under risk-free and bank funding discount rates. The other simulates the swap’s future positive and negative…