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 discussion diagnoses why a QuantLib swaption price differs sharply from a Bloomberg quote. Its first correction is to use a Bachelier engine for normal volatility rather than a Black engine for lognormal volatility. A further comparison finds that the…
The document asks how to identify futures expiration dates programmatically and determine the current front-month contract. It explains why selecting the contract for the calendar month alone can fail: some futures do not trade every month, and a…
The document discusses ways to obtain bond data for Python workflows, distinguishing US Treasury information, broader bond coverage, and yield series. It points to the Treasury's developer API for Treasury data and identifies Bloomberg or Refinitiv as…
The document explains why bumping one input swap-curve node can produce substantial DV01 mainly for swaps whose maturity is near that node. For a payer swap, it separates sensitivity to the market par swap rate at the swap’s own maturity from sensitivity…
The document addresses whether the published yields for one-month, three-month, and six-month Treasury bills can be used as their spot rates. Its brief answer directs the reader to Treasury yield curve and interest-rate data pages, implying that…
The document discusses estimating credit quality and default risk for private companies and assets such as private equity-backed businesses and direct real estate. Because these investments lack the market prices used by structural or other market-based…
The document explains a simple way to infer the number of expected Federal Reserve rate increases from a deferred Eurodollar futures contract. The example compares the implied three-month LIBOR rate from the December 2019 contract with the current…
The example concerns an investor buying an index-linked government bond between issue and maturity and asks how to calculate real yield when coupons and redemption are tied to inflation with an eight-month lag. The answer explains that each payment date uses…
The document translates a described swap exposure into a payer swaption: an option expiring in 15 months on a five-year forward-starting swap beginning two years after trade date, with a strike one percentage point above the at-the-money forward swap rate.…
The document explains the usual capital budgeting convention of forecasting a project’s after-tax operating cash flows and discounting them at a required return. Under this approach, the hurdle rate captures financing costs, so separately including those…
The document clarifies how to annualize a rate when the quoted charge already applies to each compounding period. If invoice credit costs 5.26% per 20 days, that figure is the periodic rate, so it goes directly into the effective annual rate calculation;…
The response explains how to relate clean and dirty prices for an inflation-linked bond. In the example, the quoted clean price and ordinary accrued coupon are combined first; that amount is then multiplied by the index ratio to obtain the indexed dirty…
The document considers when highly rated corporate debt might trade at a lower yield than US Treasuries. The response says it cannot identify a current ten-year example and cites a AAA-rated issuer whose ten-year yield is above the Treasury yield at the time…
The document explains why a quoted three-month cash rate can differ from a three-month zero rate when the rates use different day-count conventions and compounding definitions. Its example starts with a market rate quoted on an ACT/360 basis over 92 days,…
The document asks why a zero-coupon bond price divided by a bond maturing at T is a martingale under the T-forward measure. The key principle is that this measure uses the T-maturity bond as numeraire, so prices of tradable assets expressed in units of that…
The document asks whether a forward LIBOR expression derived from a zero-coupon bond price under a risk-neutral measure can be reused when the bond value is instead defined as an expectation under the real-world measure. The response sketches two ways to…
The document describes how the New York Fed’s reverse repo operations can influence short-term financing rates. In the account provided, money market funds and other eligible investors lend cash to the Fed and receive government securities as collateral. By…
The document outlines the transition from single-curve LIBOR swap pricing to dual-curve methods after the financial crisis exposed a gap between LIBOR and overnight rates. It asks whether SOFR swaps return to a single-curve framework. The answer separates…
The document explains that the two quoted swap rates represent different contract conventions, so they apply to different floating-rate exposures. A semi-bond swap pays fixed interest every six months using a 30/360 day-count basis and receives three-month…
The document explains how a bank’s LIBOR borrowing rate can be compared with the overnight indexed swap rate to describe its funding spread. In the example, three-month LIBOR is 2.10 percent and the corresponding OIS rate is 2 percent, giving a…
The document compares adding long- or short-duration Treasuries to an equity portfolio, including whether to use leverage. For an investor optimizing across stocks and both bond maturities, the first answer recommends evaluating expected returns, risks, and…
The document asks how to fill missing annual maturities in simulated zero-coupon bond price paths. The available scenarios come from a shifted Libor Market Model and contain forward bond prices at selected maturities, while the desired grid has annual…
The document asks why a 30-year Freddie Mac mortgage-backed security with a coupon below a quoted fixed mortgage rate can trade at a premium. The response first distinguishes the primary mortgage rate paid by borrowers from the coupon received by MBS…
The document explains why a bond’s price and dollar duration alone do not determine its spread. In a simplified flat-curve setting, spread calibration means finding the spread over a reference rate that makes the discounted value of the bond’s cash flows…