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 derives an adjusted covered interest rate parity relationship by comparing two ways to hold value across currencies. In the basic setup, an investor converts currency at spot and invests at one interest rate, while the alternative invests in the…
The document asks how to offset the delta of a long USD/SGD call by shorting another call rather than trading spot. It gives an example of a one-million-dollar call near the strike, whose delta is described as approximately positive 0.5, and asks how a short…
The document outlines a PCA workflow for studying relationships among selected assets and constructing portfolio spreads. It recommends converting price histories to log returns and centering the observations, then calculating a covariance matrix; a…
The document considers an apparent rise in USD/TRY where the displayed candles seemed to show no prior close below the later price. The questioner wonders whether the move reflects a glitch or genuine price direction. The accepted explanation attributes the…
The document compiles user reports about EODData’s historical and intraday market data, including equities, indices, foreign exchange, commodities, and options. Reported problems include missing records, stale files, price spikes and scale errors, absent…
The document examines whether an exchange-rate series such as AUD/USD should itself be called a financial asset. It separates the currency from a quoted rate and from a transaction or contract involving two currencies. One answer recommends describing the…
The exchange clarifies how to interpret probabilities inferred from prices of binary FX options. The answer says the probability associated with a binary paying when the terminal forward exceeds its strike is a risk-neutral probability under the forward…
The exchange considers whether fields in DTCC dashboard data can identify whether a non-deliverable forward (NDF) FX trade was buyer- or seller-initiated. The respondent reviews transaction attributes such as event type, clearing status, package indicators,…
The document explains how currency translation changes the return variance of a foreign equity portfolio. It expresses a European investor’s return as the US equity return combined with the EURUSD exchange-rate return, then expands variance into the equity…
The document explains how price differences across separate markets can support paired relative-value positions when only one currency can move between venues. It converts quoted exchange rates into the cost of each traded currency in terms of the…
The discussion examines whether long or short foreign-exchange positions have greater potential losses, using EUR/USD and an account denominated in EUR. It distinguishes the value of a currency position from the financing assumptions in a broker example.…
This note derives the change of probability measure from the domestic risk-neutral measure to the foreign risk-neutral measure for a foreign/domestic exchange rate. It starts from the domestic-measure exchange-rate dynamics and uses the ratio of domestic…
The document explains why a dealer issuing currency-protected Nikkei put warrants may need to trade the Nikkei as well as yen. The dealer’s assets were a varied set of yen-valued Nikkei puts, while its liabilities were a more homogeneous set of dollar-valued…
The document distinguishes the market-risk protection provided by an FX forward from the credit exposure that remains before settlement. Fixing an exchange rate can protect a party against adverse currency moves at delivery, but it does not ensure that the…
The document compares two ways to value a foreign-currency corporate bond for a domestic investor: discount the bond’s local-currency cash flows and convert the value at spot, or convert each cash flow with FX forwards and discount in the domestic currency.…
The document explains how to represent equities, foreign exchange forwards, and options in a variance-covariance VaR framework. Its central recommendation is to map each instrument to the underlying risk factors that drive its value rather than treating…
The document explains why a historical-data request for the EUR/USD currency pair may return no observations even when the connection to Trader Workstation succeeds. The example specifies the instrument as a stock and uses stock-market settings, which do not…
The document clarifies a currency forward hedge when foreign currency grows through investment before settlement. If one pound is invested at the pound risk-free rate, the amount held at maturity is greater than the initial pound. A forward position sized…
The note asks whether Bitcoin and Ether should be modeled as currencies with zero interest when they pay no dividends, and whether crypto carry costs instead reflect commodity-like features. Its answer compares two modeling frameworks for a stochastic…
The note explains how changing the pricing numeraire transforms a call on an exchange rate into a put on its reciprocal. The derivation starts with the domestic-currency discounted expectation of the call payoff, rewrites the payoff by factoring out the…
The document asks how to estimate total foreign exchange risk for a series of future income payments in one foreign currency. It proposes summing each payment’s individual volatility based VaR, scaling volatility by the square root of its time to receipt,…
The document asks which discrete-time models can describe stock prices beyond GARCH and whether the same approaches apply to currency markets. The replies point to models with autoregressive structure, including the ARCH family, as candidates for both asset…
The document describes fitting an FX volatility surface to interbank option strategy prices using weighted least squares and a mesh over expiry and moneyness. It discusses Gauss–Newton or Levenberg–Marquardt updates, with a key complication: market…
The exchange considers whether trading longer currency arbitrage cycles alongside triangular arbitrage creates useful additional opportunities. One answer frames ordinary spot FX arbitrage as a comparison between a direct currency pair and a synthetic rate…