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 describes an attempt to reproduce a Bloomberg-style EURUSD digital knock-out option price using QuantLib in Python. It specifies a down-and-out put with a cash-or-nothing payoff, market quotes for spot, volatility, and interest rates, and tests…
The response explains how a sharp currency depreciation can threaten banks when their assets are largely in local currency but their liabilities include deposits or bonds denominated in hard currency. Depreciation raises the local-currency burden of those…
The document presents a proxy hedge for a company expecting Norwegian kroner while seeking to manage the dollar value of that future receipt. Because a direct kroner-dollar hedge is assumed unavailable, the company uses euros as a correlated substitute. The…
The answer contrasts two types of OTC options by their practical use. Asian options are common in foreign exchange hedging, where companies with recurring foreign-currency revenues may care about the average exchange rate over a period rather than the rate…
The discussion clarifies why foreign exchange volatility smiles are commonly quoted by delta rather than strike. Delta offers a maturity-aware way to describe an option’s position in the smile: the same strike can represent quite different delta levels at…
The note explains why a standard risk-neutral FX diffusion uses the domestic minus foreign short-rate differential for the expected change in an exchange rate quoted as domestic currency per unit of foreign currency. Covered interest parity constrains spot,…
The discussion asks whether USD-denominated global Fama–French daily factor returns can be converted into euros by multiplying gross returns by the change in the exchange rate. The answer recommends converting the global portfolio returns into USD and…
The document assesses whether QuantLib can price a Bermudan-callable EUR/USD cross-currency interest rate swap using two Hull-White rate models, an FX process, correlations, and Longstaff-Schwartz Monte Carlo. Its answer is that QuantLib offers many relevant…
The document considers a basket call whose components are denominated in different currencies while the payoff is paid in US dollars. It asks how to price and hedge the payoff formed from the sum of the two asset values less a strike, floored at zero. The…
The document addresses simulating several currency prices with specified individual drifts and volatilities and a target correlation matrix. The question proposes multiplying independent geometric Brownian motions by a Cholesky factor, but the accepted…
The document derives a dynamic hedge for a quanto option whose underlying stock is priced in a foreign currency while the payoff is fixed in domestic currency. It models the foreign stock and exchange rate as correlated geometric Brownian motions and…
The document collects suggestions for connecting C# trading software to FX brokers, with the original question focused on free API access for simulated development and possible later live trading. It names several providers and APIs, including Dukascopy, TD…
The document raises a risk-measurement question for quanto-style options on commodity forwards whose payoff is converted through foreign exchange. It gives a composite-volatility formula that combines the underlying commodity volatility, FX volatility, and…
The document discusses discrepancies among vendor-reported foreign-exchange prices and their implications for an hourly-data strategy using MACD or linear regression. Its central point is that spot FX is decentralized, so feeds can reflect different…
This question asks how to estimate daily value at risk for a EUR/JPY position held in a USD-base trading account. Returns computed directly from EUR/JPY prices are expressed in yen, so they do not by themselves capture the position’s changing value in the…
The document compares a Swiss investor’s returns from a U.S. equity index fund with and without a currency hedge. Its two-period example combines a changing USD/CHF exchange rate with an index that rises or falls in dollar terms. The unhedged position…
The document compares physical gold forwards with XAU/USD forwards, focusing on how they settle and who might use them. It describes physical forwards as suited to commercial users, such as jewelry businesses managing input costs, while XAU/USD is presented…
The document discusses a reported jump in the USD/INR forward premium during a period of dollar inflows into India. The cited news account attributes the inflows to repatriated dollars and says state banks were instructed to protect dollar deposits amid…
The responses discuss what risk information may help a business leader oversee foreign-exchange exposure. For operational involvement, suggested measures include gross and net portfolio exposure, leverage, trade size limits, and intraday exposure by product.…
The document explains why an FX cross rate's volatility is not generally the simple result a trader might expect from the volatilities of its two component pairs. It frames the cross as exposure to a portfolio of EUR/USD and USD/GBP positions. With zero…
The note explains how a foreign investor can calculate an equity return in their home currency by combining the asset’s local-currency price change with the currency’s exchange-rate change. For an investor measuring returns in US dollars, first express each…
The document asks how to estimate the share of a company’s foreign-exchange exposure that is hedged using annual-report information. The available inputs include net FX exposure and reported gains or losses across several years, exchange rates, and details…
The document explains how to estimate the two-year forward exchange rate and the annualized carry return for a GBP position using spot and forward quotes. It assumes a position that buys GBP at spot and sells it forward, then compares the forward price with…
The document asks how to interpolate forward FX values when the valuation date and the curves’ anchor date are moved into the future. It uses USD/MXN zero-rate curves to compare a forward calculated from today to a later expiry with one recalculated after…