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 explains how to use the standard compound-interest formula when an investment lasts a combination of whole years and months. The key is to express the total duration in years and ensure that the exponent counts the number of compounding…
This exchange explains why a bootstrapped zero rate for an 18-month Treasury bond can appear below the bond’s yield to maturity even when the curve slopes upward. The error comes from mixing time conventions: earlier maturities were treated as exactly half a…
The document explains the relationship between QuantLib’s generic IBOR index class and specialized indices such as Euribor and USD LIBOR. The generic class accepts parameters including currency, tenor, fixing calendar, business-day convention, and day-count…
The document asks how to price a stock call under stochastic interest rates using a maturity-matched bond as numeraire. It starts from the change-of-numeraire relation and rewrites the discounted option value as the bond price times an expectation under the…
The discussion compares two discount factors for a zero-coupon rate held constant over whole years plus a fractional year. One approach compounds the rate continuously across the full elapsed term in discrete compounding form; the other compounds for the…
The discussion explains how CME Eurodollar option premiums are quoted and compares a displayed quote of 0.0375 with a calculator value of 3.75. The answer identifies the calculator value as 3.75 basis points for the described option, apparently a September…
The document outlines a proposed approach to estimating default risk for private companies using seven years of financial data from about 3,000 firms. It gives the private-company Altman Z′ formula and lists its five accounting inputs: working capital,…
The document addresses missing historical bond volume results from Bloomberg’s Excel add-in. The response explains that fixed-income volume often requires specifying the reporting source, because volume data may not be available in the default bond history…
The document considers how to set compensation when a bond is redeemed before maturity. The proposed goal is to give the bond buyer principal plus a return that reflects BBB credit risk over the holding period, while floating coupons tied to one-year…
The document examines whether a time-indexed expression involving a zero-coupon bond price and the money-market account is the Radon–Nikodym derivative for switching to the bond numeraire. Its key correction is that the density between probability measures…
The document asks how published estimates of recession probability over coming quarters were calculated, referring to estimates reported in a 2016 article for the United States and euro area. The accepted response says there are several possible approaches…
The document explains how to derive a forward par swap rate from projected floating-leg rates and discount factors. For each payment period, the floating cash flow is the forecast index rate multiplied by its accrual fraction, discounted to the valuation…
The document sketches how a foreign investor might translate a bond investment into domestic-currency cash flows using a cross-currency swap, then interest rate swaps. Its example has a US investor acquiring euros through a swap, purchasing a…
The document presents a QuantLib Python question about building an FX swap curve from overnight and tomorrow-next quotes and reproducing the input forward points. It supplies a setup with a trade date, spot settlement lag, spot rate, collateral curve,…
The document raises a derivation question about rewriting a maximum-likelihood objective when the covariance matrix has an idiosyncratic variance component and a shared component across observations. The author proposes an inverse covariance expression that…
The document explains how to determine whether a firm’s equity is in or out of the money by applying the option interpretation of corporate equity. Shareholders hold a residual claim on the firm’s assets after debt is repaid, so equity can be represented as…
The document answers a request for a free tool or credible chart to support portfolio construction using modern portfolio theory. It points to R software for analyzing portfolio performance and specifying portfolio optimization, and names additional R…
The document discusses why a beta distribution may be used to model credit migration probabilities, such as movement between credit ratings. Its stated rationale is that the distribution is bounded and can take a wide range of shapes, making it a flexible…
The document examines how to calculate LendingClub’s net annualized return from historical loan payment data. It lays out a monthly formula that combines interest, late charges, service charges, charge-offs, and recoveries, weighted against remaining…
The document recommends books and references for readers seeking applied material in fixed income and financial engineering, especially numerical methods. It points to two classical financial engineering references and identifies Brandimarte’s numerical…
The document outlines the three broad input categories it associates with the Basel standardized approach for credit valuation adjustment risk: a market-implied probability-of-default term structure, market-consensus expected loss given default, and…
The document concerns reproducing inflation cap prices with the Bachelier formula as a step toward calibrating a SABR model. The questioner says they have normal volatility quotes by strike and maturity, a forward-rate curve, and cap prices expressed in…
The document asks where to obtain historical bond index yields or asset swap spreads across major currencies, grouped by investment grade and high yield ratings and by duration. It notes that a commercial index provider offers the desired information but is…
The document asks how to price a stock under the risk-neutral measure when both the stock and short rate follow stochastic processes under the real-world measure. Its main answer addresses correlated Brownian shocks: rewriting the rate shock as a combination…