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 addresses how to reproduce an international equity analysis that reports returns in US dollars and measures excess returns over US Treasury bills. Its example concerns Danish stocks and a local-currency index, both denominated in Danish kroner.…
The document considers how to identify which major foreign-exchange trading sessions are open at a given UTC time, while accounting for weekends, daylight saving changes, and local holidays. One suggested approach is to maintain each centre’s local business…
The document derives a pricing expression for a non-deliverable FX forward whose fixing date precedes settlement. It rewrites the discounted payoff using the domestic forward measure associated with the fixing date, then models the exchange rate and domestic…
The document describes an attempt to estimate measurement noise, process noise, and initial state parameters for a local trend model fitted to daily currency data. The author reports that maximum likelihood returns parameter values they consider unintuitive,…
The document describes a peso carry trade built by buying MXN in the spot market and entering an FX swap that sells MXN spot and buys it forward. The paired spot transactions offset, while the forward leg creates exposure to supplying dollars through the…
When a local market has no observable swaps or FX forwards, government bond yields can anchor an estimate of the cross-currency rate. The proposed method compares markets where both bond yields and cross-currency rates are available, selecting peers with…
The document raises a pricing question about USDINR swaps: Indian banks are described as using a Modified MIFOR curve, based on SOFR and forwards, both to project INR cashflows and to discount them. International banks are described as using separate curves…
The document explains why local overnight indexed swap curves for two currencies alone may not reproduce market FX forward rates. The difference arises because market participants cannot necessarily borrow or lend at those rates in both currencies. A…
The document asks how to value collateral posted or received for a cross-currency swap when the credit support annex permits collateral in a currency different from the swap’s native currency. It distinguishes the CSA-adjusted discount factors used to value…
The document considers how to measure Slovakia’s exchange rate volatility against the euro after Slovakia adopted the euro. It explains that the former koruna-to-euro exchange rate became fixed at the conversion rate, so volatility for that bilateral rate is…
The discussion addresses access to live tick by tick foreign exchange prices for charting and analysis. It distinguishes executable quotes from a single liquidity provider, bundled executable liquidity available through an electronic communications network,…
The document asks how to turn a factor that tracks price into buy and sell decisions, using the difference between German and US ten-year yields alongside EUR/USD as an example. One response describes a pairs trading approach: first test whether the series…
The document raises an empirical observation about short-term foreign-exchange options: out-of-the-money implied volatility relative to at-the-money volatility appears to show greater smile curvature in low-volatility environments. It notes that related…
The document describes a Bloomberg data retrieval problem encountered with Rblpapi: a request for daily currency data returns missing values when non-trading-day fill options are included. Removing those fill settings allows the request to work, prompting a…
The question sets up a one-year USDMXN forward hedge using quoted USD and Mexican peso swaps, cross-currency basis swaps, and spot FX. It asks how to hedge a forward sale by laying out the required transactions, their directions, and tenors, assuming…
The document poses a foreign exchange delta hedging example involving a long USD/IDR straddle, an intraday currency move, and a new one-year non-deliverable forward used to rebalance delta. The hedge is traded at a bid or ask price, so the question asks how…
The document explains how a bond’s cash flows can be converted into another currency using a cross-currency swap. An investor could hold a fixed-coupon U.S. Treasury and exchange its expected dollar payments for payments in a foreign currency, creating…
The document asks how to reproduce a one-year euro implied yield shown by a Bloomberg terminal from a spot exchange rate, a forward exchange rate, and a US dollar yield. It presents the relationship used for the calculation: the spot bid divided by the…
The document defines the dollar zero rate and foreign zero rate used in a foreign-exchange forward-pricing expression. The dollar zero rate is the interest rate associated with a dollar-denominated zero-coupon bond. The foreign zero rate is the corresponding…
The document explains how to roll an expiring FX forward while preserving a hedge. A matched roll closes the original forward at its agreed rate and opens a new forward for the same amount at a current swap rate. The two legs keep the exposure hedged across…
The document asks why AUD/USD and NZD/USD cross-currency basis spreads can be positive when many other currencies have negative bases. One cited explanation focuses on Australian banks’ net US dollar liabilities: they supply US dollars in cross-currency…
The document surveys risk measures used to monitor equity, fixed-income, commodity, and foreign-exchange portfolios. It lists position sizes and exposures alongside measures such as volatility, beta, duration, DV01, credit categories, currency risk, and…
The document addresses how to infer strike prices from an FX volatility surface quoted in delta butterflies and risk reversals. Converting those quotes into call and put volatilities is not sufficient by itself: the strike calculation also depends on how the…
The document explains how to determine the currency denomination of FX option Greeks by starting with the units of the option value and spot rate. If an option is valued in domestic currency and spot is domestic currency per unit of foreign currency,…