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 note distinguishes calculating a portfolio’s daily P&L from explaining its sources. The basic measure is the difference between today’s and yesterday’s portfolio values, but the valuation method depends on the instrument. Exchange-traded products use…
The note explains why QuantLib floating coupons in a vanilla swap can produce fixing values that differ slightly from values queried directly from the underlying Ibor index. By default, coupon rates are estimated at par from the curve, and the forward-rate…
The document asks how to interpret the inputs to a Hull–White one-factor swaption pricing function while modeling the expected exposure of an interest rate swap. It identifies expiries, floating-leg start and end times, fixed-leg payment times, day-count…
The document asks how to illustrate the effect of model assumptions in a systemic banking-risk framework on a collateralized debt obligation payoff. The motivating setup is a mean-field model of institutional distance to default, with dynamics affected by…
The document explores why stock prices or price-to-book valuations may sometimes rise alongside interest rates, despite the discounting argument that higher rates reduce the present value of future cash flows. One explanation offered is a shared driver:…
The document shows how to connect a proposed forward-rate function to zero-coupon bond prices when the short rate follows a diffusion process. Rather than applying the Feynman–Kac formula directly to the integral-differential equation for the forward rate,…
The document diagnoses slow repeated valuation of an overnight indexed swap in QuantLib while advancing the evaluation date and rebuilding curves. The accepted answer identifies evaluation-date changes as the main source of the slowdown: QuantLib refreshes…
The document considers where to hold cash intended for withdrawal within less than a year, with a preference for stable value and periodic income rather than exposure closely tied to the stock market. It raises money market exchange-traded funds as one…
The note examines why bootstrapped zero rates can appear below an upward-sloping par swap curve when continuous compounding is used, despite the expected relationship between par and zero curves. It contrasts a discrete annual bootstrap from par swap rates…
The note asks whether a final swap accrual period shorter than a standard three-month LIBOR tenor needs a convexity adjustment. It explains that a theoretical adjustment can arise when the LIBOR end date differs from the swap coupon payment date: the forward…
The document raises a risk-measurement question about the equity tranche of a collateralized loan obligation (CLO). This tranche absorbs credit losses first and receives residual cash flows after senior claims, giving it substantial downside exposure as well…
The document discusses estimating the settlement period for collateral in non-cleared OTC derivatives, within counterparty credit risk modeling. It places settlement time inside the margin period of risk: while collateral-related cash flows accumulate, a…
The document explains how a stochastic short-rate model can support interest-rate derivative pricing. Under risk-neutral valuation, the price of a default-free zero-coupon bond is the conditional expectation of the discount factor accumulated from the…
The document explains why a basic Ho-Lee short-rate model with an initial rate and constant volatility cannot generally match discount bond prices across maturities. It illustrates the issue with a two-step binomial lattice: setting the initial rate to fit a…
The document asks how likely an at-the-money caplet is to finish in the money under real-world conditions. The questioner compares a Black-formula estimate based on the forward rate, strike, volatility, and maturity with a qualitative view: when forward…
The document explains how the usefulness of a negative option strike depends on whether the underlying can itself take negative values. For a nonnegative asset, a negative strike makes a call certain to finish in the money and a put worthless, so such…
The document clarifies the difference between an Australian dollar interest rate swap’s maturity and the tenor of the floating reference rate used by that swap. A multiyear swap does not require a reference rate quoted for the same multiyear term. The answer…
The document addresses whether a bought swaption can have a negative value under parallel interest-rate curve shifts. Its answer distinguishes the value of the underlying swap from the option payoff: the swap’s value can be negative after a curve bump, but a…
The document explains the half-period term in a common credit default swap spread formula. The denominator includes both premium payments made when the contract survives to a coupon date and premium accrued if default occurs between coupon dates. Because the…
The document asks how to select the forward and strike inputs for Black-76 when interest rate futures are quoted as a price derived from an interest rate. The included response does not resolve that input convention, but reports using a Gaussian, or…
The document asks how to value an American swaption with Monte Carlo simulation under a Hull–White short-rate model in QuantLib. The response offers a tree-based alternative: set up the swaption, attach a Hull–White model and a tree pricing engine, then…
The document asks whether the standard one-factor Hull–White zero-coupon bond formulas assume constant mean reversion and volatility, and what to use when those parameters vary over time. The response identifies the general one-factor Gaussian short-rate…
The document explains the distinction between a curve-building helper and a tradable cross-currency basis swap instrument in QuantLib. A user asks whether the newly available rate helper can also be used to price the swap itself. The answer says QuantLib…
The document describes using Bloomberg-provided discount factors to construct a QuantLib discount curve for pricing instruments such as swaps. It emphasizes that Bloomberg supplies market prices for curve-building instruments rather than one universal yield…