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 document asks how to apply mean-variance optimization to a portfolio of municipal, high-yield, and investment-grade bond indexes when coupon information and option-adjusted duration are also available. It distinguishes monthly index returns from coupon…
The document presents a method for estimating the base correlation skew of a bespoke collateralized debt obligation portfolio when directly quoted market data are limited. It recommends finding quoted index tranches that resemble the bespoke portfolio in…
The document compares single-factor and multi-factor interest-rate models for exposure calculations in XVA and counterparty credit risk. A single-factor model is simpler and less computationally demanding, which can matter for real-time potential future…
The document explains how to interpret a five-year U.S. Treasury note futures price displayed in a fractional quote format. It says the contract's tick size is one 128th of a point, equivalent to one quarter of a 32nd. On that basis, a displayed quote with a…
The discussion explains why credit valuation adjustment can remain relevant for a swap with daily collateral. Collateral terms may leave residual exposure through thresholds, minimum transfer amounts, and other imperfections. If a counterparty defaults,…
The document asks how to infer a one-year transition matrix for a three-state credit-rating model with two solvent ratings and a default state. It assumes zero recovery and interest rates, provides one-year and two-year credit spreads for each performing…
The note contrasts two ways to estimate duration for a floating-rate note (FRN). One approach projects future coupons from forward rates, then applies standard bond yield and duration calculations. The response questions whether that measure reflects rate…
The document describes how to approximate a forward-starting interest rate swap using ordinary spot-starting swaps. For a forward swap beginning after an initial period, one can receive a longer-tenor swap and pay a shorter-tenor swap with matching notionals…
The document discusses where to find quarterly financial information for US banks, especially profit measures. It points to company fundamentals services that provide quarterly and annual income statements, alongside balance sheets and cash flow statements.…
The question compares the conventional linear accrued-interest adjustment used to derive a dirty bond price from its clean quote with a compounding-based price approximation. It asks whether the difference between these calculations could create arbitrage,…
The example concerns matching a credit default swap valuation in QuantLib to a spreadsheet and diagnosing a failed upfront basis point calculation. The accepted answer identifies three input mismatches: the CDS coupon should reflect the contract coupon…
The document explains why a one-month overnight index swap rate may move less visibly than short-term Treasury bill yields, including during periods of financial stress. OIS rates are closely linked to central bank deposit or policy rates. Because policy…
The document describes a practical copula-based approach for pricing constant-maturity-swap spread options. The inputs are the basis-point volatilities of the two rates and a correlation estimate. In the described workflow, these inputs are used to fit the…
The document explains how one-month and three-month SOFR futures are defined and why their theoretical rates differ. The one-month contract reflects average daily SOFR over its delivery month, while the three-month contract reflects compounded daily SOFR…
The note distinguishes the discount used when convertible debt converts into equity from interest charged on the loan. A conversion discount rewards an early investor by reducing the share price used in a later priced financing. The response illustrates this…
The document raises questions about how a Z-tranche in a collateralized mortgage obligation handles coupon interest and principal. It describes the tranche as a mechanism intended to support scheduled amortization for more senior classes backed by the same…
The note considers whether a lender can infer expected losses from the interest charged on retail loans and compare that estimate with official risk figures. Its central point is that the loan rate includes several components besides expected credit loss,…
Dual-curve bootstrapping builds interest-rate curves for distinct purposes: one curve discounts cash flows, while another projects rates such as LIBOR. The response describes a multi-curve framework in which discounting instruments, such as fed funds, and…
The document explains why a risk-free asset cannot always be added to a risky-asset covariance matrix by appending a row and column of zeros. That construction makes the matrix singular, which can prevent calculations that require a matrix inverse. A…
The document describes an attempt to derive a GBP yield curve from a bootstrapped USD overnight indexed swap curve and FX forward quotes using QuantLib. The USD discount factors match a separate library, but the GBP discount factors differ slightly. The code…
The document compares three recovery concepts relevant to credit portfolios: eventual proceeds from bankruptcy, the market price of a distressed or defaulted bond, and the recovery implied by a credit default swap auction. It explains that once default is…
The document explains how to estimate a Treasury futures contract’s gross basis at a future date when the forward bond price is known. Gross basis is the bond’s clean price minus the futures price multiplied by the bond’s conversion factor. Since the…
This document raises practical and statistical questions about estimating a Hull–White short-rate model in a market where interest-rate derivatives are not publicly traded. The researcher has historical VNIBOR curves and is considering whether a three-month…
The document explains why a bond’s quoted yield may not reproduce its published price when cash flows are discounted from the wrong date or the quoted price is treated as the full settlement value. For US Treasuries, the calculation should use the settlement…