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
This note outlines a framework for attributing daily P&L in portfolios holding bonds, FX forwards, and deposits. For interest-rate moves, it pairs rate sensitivities such as PV01 with changes in curve rates, distributed across chosen tenor buckets.…
The document examines why sterling might rise after a higher UK inflation release, despite the loss of domestic purchasing power. Expected central bank rate increases can support a currency through interest rate expectations and capital flows, while…
The document offers preparation advice for an upcoming quantitative trading internship involving research and backtesting across markets. It recommends finding out which programming language the firm uses and gaining familiarity with that environment, since…
The document discusses how positions can behave like volatility exposures even when they are not options. Currency carry is described as generally short volatility: carry returns tend to weaken when currency volatility rises and improve when it falls. The…
The document asks why the euro strengthened against the US dollar after an unexpected devaluation of the Chinese yuan, despite expectations that US rate increases would favor the dollar. The response offers a possible link: market participants may have…
The document asks how to convert a quoted exchange rate into its inverse, using a Thai baht to Swiss franc quote as an example. It distinguishes two needs: obtaining an inverse mid rate or constructing inverse bid and ask prices. The answer recommends taking…
The document considers whether two value at risk estimates may be added directly instead of combined using a variance and correlation formula. It explains that, without information about dependence between the risk drivers, summing the individual VaRs is…
This short exchange explains how an exporter can hedge yen income with a futures position. A short futures position means agreeing to sell yen at the contract price, while a long position means agreeing to buy yen. Because the exporter expects to receive yen…
The document considers how to handle deposits, withdrawals, ownership shares, and fees when several investors contribute to an account used for covered call selling on FX spot options. One response suggests managed accounts through a broker or routing the…
The document explains why foreign exchange dealer spreads do not necessarily move in one direction as order size increases. Larger trades may be cheaper to handle because market makers can gain efficiencies from serving them, so some clients may receive…
The document explains how to convert FX option delta and volatility quotes into strike prices, a step needed to plot a volatility smile against strike. Under an unadjusted delta convention, the strike can be found in closed form by applying the inverse…
The document examines whether credit default swap spreads should be similar when quoted in different currencies. Its central point is that currency denomination can change the value of a default-contingent payment when the reference entity’s default is…
The document reconciles two minimum-variance hedge ratio expressions: the textbook covariance-based ratio and a currency-hedging version that adds one. It explains the difference through an example of a European investor holding US Treasury bonds. The…
The document considers how to size long and short forex trades when an account is denominated in US dollars and the trader wants to allocate the full balance. It works through direct pairs such as USD/JPY and EUR/USD, and cross pairs such as EUR/JPY,…
The document distinguishes forward delta from cash, or spot, delta by the underlying exposure each measures. Forward delta describes an option’s sensitivity to the present value of a forward contract on the same underlying and maturity; it is commonly used…
The document asks for a summary of the advantages and disadvantages of using SABR to price foreign exchange options. The response directs readers to a prior discussion of volatility-surface approaches and to a master’s thesis about SABR, but it does not…
The document explains how CFD copy trading can expose followers to losses even when they mirror an experienced trader. It describes fixed-ratio and fixed-lot copying, noting that copied positions may differ in size and execution and that the leader’s limit…
This preview lays out how an upcoming U.S. Nonfarm Payrolls report could affect expectations for Federal Reserve policy and, in turn, Treasury yields, the dollar, gold, and U.S. equities. It presents three broad outcomes: moderate hiring that may support a…
The article describes U.S. Bank’s pilot of a dollar-backed stablecoin on the Stellar blockchain, aimed at programmable money and institutional uses such as cross-border payments. It attributes the network’s appeal to transaction speed, low fees, and controls…
The article explains RippleNet and On-Demand Liquidity as a blockchain-based approach to cross-border payments, with XRP described as a bridge asset intended to reduce reliance on intermediaries. It also covers Ripple’s regulatory positioning and legal…
The document describes Mastercard’s collaboration with Circle to incorporate USDC and EURC into payment settlement infrastructure, with an initial focus on acquirers in Eastern Europe, the Middle East, and Africa. It frames stablecoins as a way to reduce…
The document describes platforms that let users fund exposure to traditional assets with USDT, placing stock trading alongside crypto, commodities, and forex within a single account. It highlights contract for difference trading as the mechanism: a trader…
The document compares cryptocurrency trading with foreign exchange trading across market structure, accessibility, volatility, regulation, and instrument choice. It characterizes crypto as a round-the-clock market with substantial price swings and regulatory…
The article explains Ripple’s focus on corporate cross-border payments and XRP’s role as the digital asset used within that payment approach. It presents Southeast Asia as a target region because of its fragmented payment systems and describes Ripple’s…