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.
9,797 documents
The discussion clarifies that the ETF trick question is about constructing a continuous time series from successive futures contracts, commonly called spread adjustment or handling the roll. It describes back-adjusting as a common approach, while noting that…
For goods that have not yet been produced, futures pricing may depend on expected future supply and demand as well as carrying costs. The simple spot-plus-carry relationship applies most directly when the commodity can be stored and delivered, and does not…
The document answers whether a trader can look up identifiers for current or expired futures, using an S&P 500 contract as an example. Its main point is that CME generally does not assign ISINs to its futures, so an ISIN lookup is not available for those…
The discussion clarifies why a futures contract with a delivery window cannot be treated like a contract with one fixed expiry date. The standard cost-of-carry relationship assumes a single delivery date. When delivery can begin before the final delivery…
The note explains why the implied repo rate for a cash-and-carry bond futures trade uses a denominator adjusted for coupon timing. The initial financing requirement is the bond’s dirty price, but an interim coupon can be used to pay down the repo borrowing…
The document discusses how to estimate historical Value at Risk for a portfolio containing long and short forward contracts. Its central example is an equal-sized purchase and sale of the same delivery-month contract, and whether their separate VaR figures…
The discussion compares two ways to value a bond for a future date: projecting a spot bond price using financing carry, or discounting its cash flows to obtain a price settled on that date. In theory, the approaches should agree when their financing…
The document asks how to express the volatility of a three-month EURIBOR forward rate when the corresponding futures price is quoted as a linear transformation of that rate. It distinguishes volatility inferred from options from a historical estimate based…
The document explains how Brazilian DI1 interest rate futures are quoted and how their contract value and daily variation margin are derived. The quoted annual rate is compounded daily on a 252-day convention. The exchange converts that rate into a unit…
The document asks how to model future yield scenarios for a basket of bonds and measure how an initial yield-curve shock affects those scenarios and bond futures prices. It proposes using the Heath–Jarrow–Morton framework to simulate forward rates for…
The document discusses extending QuantLib’s VanillaOption class to represent an option on a future whose expiry differs from the option’s exercise date. The proposed design adds a future-expiry field to a derived argument class and overrides argument setup…
The document asks how selling part of a leveraged euro position affects borrowed funds and reinvestable profit. Its answer discusses FX futures and says that, in that setting, proceeds from selling a portion do not directly repay a spot-style loan. Instead,…
Fannie Mae and Freddie Mac debt attracted attention as a possible substitute benchmark for long-dated US Treasury bonds when Treasury supply was shrinking. As government-sponsored enterprises, the two agencies were widely believed before the financial crisis…
This discussion compares estimating a hedge ratio by regressing spot and futures returns with regressing their price levels. The question reports much lower fit and a smaller hedge ratio from returns, while levels appear to track closely. The answer cautions…
The document asks how spot rates and forward rates respond when markets anticipate a Federal Reserve rate cut. The replies point to federal funds futures as the most liquid instrument relevant to the question, and also mention OIS rates and three-month SOFR…
The document considers implied volatility for an American-style option on a short-term interest-rate future. It starts with a Bachelier normal model as a European-option approximation, then asks how to adapt a binomial tree for early exercise. The discussion…
The document considers a position that is long a forward rate agreement and short a Eurodollar futures contract with matching fixing dates. It characterizes the position as having positive convexity because the FRA has positive convexity while the futures…
The document describes an Interactive Brokers API issue in which reported call option bids, asks, and deltas appeared inconsistent with the quoted price of an S&P futures contract. The initial request used a regular equity index option contract, even though…
The document explains why an option on a spread of two futures cannot generally be replicated statically using options on the individual futures. It uses a gasoline crack spread option as an example of this contract type. The proposed approach is to price…
The document asks how a USD-based backtest should account for a trade in a currency cross, using EUR/GBP as its example. One proposed approach explicitly converts USD into the currencies needed to enter and exit the position; the other tracks the cross’s…
The document asks how to construct range bars of a fixed price range from tick-like OHLCV records when a price move exceeds the target range. It seeks rules for the number of bars produced and how to assign each bar’s open, high, low, close, and volume, and…
The document addresses a conceptual question about the theoretical forward price of a futures contract. Its concise answer is that the forward price of the futures contract is its current market price. This identifies the quoted futures price as the relevant…
The document compares two ways to calculate position and profit-and-loss figures from stock or futures fills. One method aggregates buys and sells to derive average prices and realized P&L; the other updates an average open price and realized P&L one fill at…
The document addresses how to price options on VXX, an exchange-traded product linked to short-term VIX futures, whose value can decline during contango. The question asks whether that negative expected drift calls for a change to Black–Scholes when rates…