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 answers whether exchange-quoted SOFR futures prices remove the need for convexity adjustments when calculating interest rate futures sensitivity. Its answer is that adjustments may still matter for financing bias, even when using market prices.…
The document raises technical questions about the self-financing condition in papers on funding, collateral, and discounting. It asks whether a displayed inequality involving changes in positions and asset prices contains an inconsistent superscript on the…
The document explains how to evaluate a credit VaR expression from a derivatives textbook when the intermediate normal quantiles seem to produce values different from the stated result. The calculation combines the standard normal quantile for the confidence…
The document asks why portfolio positions are conventionally written with positive quantities for assets held long and negative quantities for assets held short. It contrasts this with treating a short sale as positive cash proceeds and a purchase as…
The document explains a surprising QuantLib date-advance result using the Japan business calendar. Advancing December 28, 2012 by one business day or by one week both returns January 4, 2013, while advancing by five business days returns January 10. The…
The document asks which volatility-surface parameterization is commonly used for options on Treasury futures. It compares this market with examples of models associated with other option markets: SVI for equities, Vanna–Volga for foreign exchange, and SABR…
The document works through the value of a plain receiver swap immediately after its first annual settlement. It specifies a notional amount, a fixed coupon, and a term structure of expected floating rates, then shows an attempted valuation of the remaining…
The document explains that a Treasury constant maturity yield is a rate for a theoretical bond with a fixed remaining term, rather than necessarily the yield on one particular security. As existing bonds age and their maturities move away from the desired…
The discussion clarifies the relationship between exposure at default (EAD), risk weight (RW), and risk-weighted assets (RWA). In the described banking context, EAD and a customer-specific risk weight are inputs used to calculate RWA. Risk weights can…
The document examines whether rising US Treasury yields signal weakness in equities or a shift from growth stocks toward value stocks. It explains the usual bond price and yield relationship: yields rise as bond prices fall, and falling yields can accompany…
The document asks whether a portfolio’s duration can be estimated as the market-value-weighted average of the durations of its bond ETFs. It gives an example portfolio containing several funds with different stated durations and sketches the weighted-average…
The document asks whether the fixed rate on an overnight indexed swap, or on a general fixed-for-floating swap, can be treated as a par yield when bootstrapping discount factors. It presents a relation in which discounted fixed coupons plus the final…
The document frames a quantitative valuation problem for an individual credit card balance or flexible loan, and asks how the approach would change for a pool. The proposed contract features include a required monthly minimum payment, interest accrual below…
The document asks whether ARCH and GARCH models suit volatile equity markets, whether they can estimate interest rates, how forecast horizons relate to lag choice, and how to estimate model parameters by maximum likelihood. The reply clarifies that these…
This document outlines the Singer–Terhaar model’s use of a weighted average between an integrated-market risk premium and an isolated-market risk premium. The integrated estimate relates an asset’s premium to its correlation and volatility relative to the…
This document explains a common input error when bootstrapping a yield curve with QuantLib futures helpers. The key point is that FuturesRateHelper expects the market futures price, quoted as 100 minus the implied rate, rather than a rate converted into…
The document discusses Monte Carlo simulation of the Cox-Ingersoll-Ross short-rate process for callable-bond valuation. It explains that Euler-Maruyama simulation can produce negative rates, while exact sampling is possible from the CIR process’s known…
The document poses a pricing problem for a cross-currency swap whose fixed and floating rates can be adjusted at two future timestamps. Starting from an initial fixed rate in one currency and floating rate in another, it describes three possible rate…
The document asks how to find the starting monthly payment for a 30-year graduated payment mortgage. Its example uses a 12% annual rate, monthly payments, four annual increases of 7.5%, and payments held constant after the fourth increase. It presents a…
The document discusses which forward rates and discount curves to use when converting a cap implied volatility into a price under Black 76. It explains that at forward at-the-money, the forward equals the strike, so their ratio drops out of the logarithmic…
The document explains why forward rate agreements tied to IBOR have become uncommon in markets that have moved to overnight reference rates. Traditional FRAs were designed around IBOR conventions and settlement mechanics. The answer says that FRAs no longer…
The document explains how a market maker can price a custom-dated interest-rate swap when exchange-traded inputs move during curve construction. A pricing server periodically calibrates and caches curves from a snapshot of streaming market data. Those curves…
The document explains why repeatedly rolling a short Eurodollar futures position is not equivalent to opening a short in a later-dated contract. It contrasts these contracts with gold futures: successive gold contracts can represent exposure to delivery of…
The note discusses estimating whether a callable bond will be redeemed before maturity. It questions whether an implied distribution derived from an underlying call option can reveal the market’s call probability, and points to a binomial-tree framework as…