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
This question examines a QuantLib error encountered while bootstrapping a yield curve from quarterly SOFR futures. The supplied setup builds futures rate helpers and a piecewise linear zero curve; the reported failure refers to a missing SOFR overnight…
The question concerns constructing quarterly forward rates from USD Libor swap quotes spanning maturities from one to fifty years. The accepted answer identifies the main setup problem: the proposed curve contains only two rate helpers, a zero-rate long…
The document explains that taking a futures position does not mean receiving its quoted price immediately. Futures are marked to market through daily margin payments, which reset the position’s net present value to zero each day. By contrast, a forward…
The note explains how to interpret Eurodollar futures prices when considering the volatility of options on the contract. Eurodollar futures are quoted near 100 minus an interest rate, so the answer converts a futures price into its corresponding rate by…
The document distinguishes pricing options on futures from options on spot assets. In the Black formula for a futures option, the futures price is the underlying input, and the option payoff is discounted using the applicable discount rate. The futures price…
The document introduces cross-border risks relevant to Brazilian derivatives, distinguishing transferability from convertibility. Transferability risk is the possibility that local rules prevent repatriating assets held onshore, regardless of the currency in…
The document explains why repo rates matter to delta-one trading alongside interest rates and dividend yields. For an individual stock, the repo rate can serve as the financing rate in the cost-of-carry relationship between spot and forward prices.…
The document examines a cash-flow explanation for the convexity adjustment between an interest-rate futures contract and a forward rate. Daily variation margin can create an investment or financing effect: a short futures position receives funds when rates…
The document distinguishes between an ETF’s actual exposure and a proposed hedge based on oil prices. If an ETF tracks shares of a US oil company, its direct exposure is to those shares; an issuer would generally hold the underlying stock, with a possible…
The document asks whether CAPM or the Fama–French model can be applied directly to futures and options, drawing a comparison with their use in analyzing stocks. The answer distinguishes studying an underlying asset from analyzing a derivative contract. These…
The document discusses why gold funds such as GLD, IAU, and PHYS can show different short-term returns even when they are all linked to gold. The response emphasizes that market prices can diverge from underlying value when financial or physical constraints…
The question concerns estimating a hedge ratio between daily changes in a swap fixed rate and changes in a bond-futures forward yield. Since the swap maturity stays constant while the cheapest-to-deliver bond ages, the underlying risk exposures can drift…
The discussion distinguishes futures-curve roll from the price effect associated with a bond futures contract’s cheapest-to-deliver bond. In common futures terminology, roll is measured by comparing prices of successive contracts. For bond futures, however,…
The document explains what happens when an existing futures position is transferred before maturity. The accepted answer says a new holder enters at the futures price agreed at the time of the trade, with no purchase payment for the contract itself. Instead,…
The document gives a way to compare the steepness of futures curves across contracts with different times to expiry. It proposes taking the logarithm of the ratio between the later-dated futures price and the earlier-dated futures price, dividing by the time…
The document discusses how to extract implied normal yield volatility from American options on bond futures and whether that measure adds information beyond European-option or swaption volatility. It emphasizes that the answer depends on how the underlying…
The document considers whether a company hedging commodity costs with a long forward should base its decision only on a forecast of the spot price at maturity. The answer emphasizes that corporate hedging should follow a written policy approved by…
The document considers how to estimate the relationship between VIX futures and S&P 500 returns, with the goal of separating an equity-driven component from a volatility-related component. It proposes two basic empirical approaches: a ratio of VX to ES…
The document describes a pricing and risk question for spread options on commodity futures under a Bachelier model. The author converts lognormal volatilities to normal volatilities, estimates basket volatility through moment matching, and prices a European…
This explanation distinguishes the timing option from the switch option in bond futures and clarifies that the end-of-month option is another form of switch option. The timing option concerns when to deliver; the switch option concerns which eligible bond to…
The example concerns an Interactive Brokers API validation error when requesting market data for a Micro E-mini Nasdaq futures contract. The submitted contract uses a local symbol field and capitalized expiry attribute, and TWS reports that a local symbol or…
The document outlines how a repo desk might manage rate exposure and funding across longer-term and overnight transactions. For repos lasting from a week to several months, it names offsetting repos and interest-rate instruments, including fed funds futures…
The document compares forward rate agreements (FRAs) with interest rate futures, explaining how settlement, trading venue, contract dates, and quotation conventions affect their pricing. Futures are exchange traded and settled through daily mark-to-market…
The document questions whether worldwide exchange-traded derivative (ETD) open interest is close in scale to over-the-counter (OTC) derivative notional. It cites reported contract counts and notional estimates for OTC derivatives, commodity derivatives, and…