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 question challenges the funding term in a Burgard–Kjaer hedging portfolio for a derivative with bilateral counterparty risk. It asks why the cash account’s growth is based on the residual after accounting for the trader’s own bond, rather than also…
This question asks how to bootstrap a three-year zero rate from annual coupon bonds when one-year and two-year zero rates are already known. The central point is that each earlier coupon payment must be discounted using the zero rate for its own maturity:…
The document compares a simple-interest adjustment based on the difference between two rates with a compounded ratio of their gross rates over a day-count fraction. It shows that the expressions are not generally equal. Taking the natural logarithm of the…
The document addresses how to begin modeling non-agency mortgage-backed and asset-backed securities and comparing modeled prices with vendor marks. Its proposed starting point is deliberately simple: assume basic conditional prepayment and default rates,…
The document surveys ways to gauge market liquidity and broader financial conditions, including when assessing whether credit has tightened. It mentions survey responses from bank loan officers, volatility measures, bond spreads, and composite financial…
The note addresses why a cross-currency basis calculation may appear far from zero before the financial crisis. The key correction is to match the interest-rate convention to the contract horizon: for a three-month period, convert quoted annualized rates to…
The document explains how a corporate issuer can compare bond financing costs in two currencies when each bond is quoted against a different reference rate. The basic comparison is to calculate each bond’s all-in yield, then translate one set of cash flows…
The document derives the Brownian motion associated with a bond’s forward measure. It starts from a bond price modeled with short-rate drift and a volatility loading, then constructs the Radon–Nikodym density process as an exponential of the integrated…
The document considers how to express a futures-versus-forward convexity adjustment derived under the Ho-Lee short-rate model when rates are quoted with simple rather than continuous compounding. The stated continuous-rate relation subtracts a term…
The document uses a four-year zero-coupon bond to ask how book value differs from market value after two years. It distinguishes the bond’s market value, which reflects the yield used to discount its remaining cash flow, from its accounting book value, which…
The document asks whether an option on a compounded-in-arrears overnight rate must be priced with Monte Carlo simulation. Its answer describes a backward-pricing alternative for Asian-style payoffs: add the accumulated rate to the model’s state variables,…
The document describes an attempt to fit a Nelson–Siegel–Svensson yield curve in QuantLib from observed zero rates. The author converts the rates into zero-coupon bond prices, passes them through fixed-rate bond helpers, and fits a discount curve. The…
The document frames housing loan activity as a market shaped by lending rules and broader economic conditions. It identifies loan-to-value limits, interest rates, and loan tenor as direct policy drivers, and suggests GDP growth, home prices, and inflation as…
The question concerns creating a three-month euro yield curve from a six-month curve by adding a spread series with more maturity points. It asks how to use monotone convex interpolation in QuantLib’s Python interface. The response challenges the need for…
The document explains why bonds with the same stated maturity need not have identical yields to maturity. Coupon size changes the timing of a bond’s cash flows: higher-coupon bonds return more value earlier, which can affect yield comparisons when the curve…
The post examines whether a rise in the risk-free rate changes the efficiency of the market portfolio. Under CAPM, it rewrites expected returns so that higher-beta assets have lower expected returns and lower-beta assets have higher expected returns when the…
The document presents a QuantLib setup for deriving an inflation term structure from zero-coupon inflation swap quotes. The shown workflow supplies dated market rates, builds a yield curve, creates an inflation index and relinkable term-structure handle,…
The document considers how to build stress scenarios for a risk-free yield curve when testing a portfolio against hypothetical equity moves. It cautions that recent daily correlations may show little relationship between equity prices and interest rates, and…
The document describes fitting the Cox–Ingersoll–Ross (CIR) short-rate model to equally spaced interest-rate observations. It uses the model’s exact conditional transition distribution, which is related to a noncentral chi-square distribution, to form a…
The document works through the differentiation of a zero-coupon bond price in a simple Heath–Jarrow–Morton interest-rate model. Starting from an exponential expression involving the initial forward curve, the drift integral, and a Brownian-motion term, the…
The document points readers seeking to understand bullet and barbell bond positioning toward literature on yield-curve analysis, convexity bias, and methods for assigning portfolio weights. It names a detailed treatment by Antti Ilmanen and a Lehman Brothers…
The document describes a QuantLib setup for constructing a Chilean peso overnight swap curve from short rate quotes and longer dated swap quotes. It defines a Chilean holiday calendar, assigns deposit and overnight indexed swap helpers, builds a piecewise…
The document considers bond portfolio optimization when some securities are mandatory and others are eligible candidates, while the final portfolio may need to meet a limit on the number of holdings. It recommends filtering ineligible bonds before continuous…
This discussion examines the risk exposures of an Australian investor holding a USD-denominated zero-coupon bond. It explains that the bond's AUD value can change with both the AUD/USD exchange rate and US interest rates, because the investor knows the…