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 explains how a Lévy process such as variance gamma, NIG, or CGMY can be time-changed by the integrated rate of a mean-reverting CIR process. This produces a stochastic volatility Lévy process: the clock remains nonnegative and increasing, but…
In swaption quoting conventions, a volatility surface is often arranged with option expiry increasing down the first column and the maturity of the underlying swap increasing across the top row. Under that layout, the upper-left region represents options…
The document clarifies why dividing a semiannual coupon by the actual number of calendar days in a coupon period does not calculate accrued interest under a 30/360 convention. That approach uses actual dates and actual period length, resembling an…
The document raises a fixed-income question about why discount factors for the same maturity and market date differ when one is reported using LIBOR conventions and another using continuous compounding. It cites two tables from a reference text and notes…
The document explains why a callable bond’s Z-spread may not map cleanly to a unique price. The call option makes the bond’s value depend on whether and when the issuer exercises, and that decision is affected by both risk-free rates and credit spreads.…
When calibrating an option pricing model across several maturities, the risk-free input should come from securities whose prices primarily reflect interest rates, rather than being chosen to fit the options themselves. The answer recommends building a…
The document asks why a multi-curve framework remains necessary after the transition from LIBOR to overnight risk-free rates. It outlines a common intuition: an OIS curve built from SOFR swaps can serve as the discount curve, and the quoted swap rates might…
The document explains how to estimate the opportunity cost of receiving a cash flow late when the stated annual rate uses an actual/actual day-count basis. For a delay shorter than the annual compounding period, it applies simple interest: multiply the…
The document clarifies a leverage example involving a home purchase financed partly with a mortgage. The question contrasts a four-to-one ratio based on the loan amount relative to the buyer’s cash contribution with a five-to-one ratio based on the total…
The document asks how to infer shorter-maturity annualized spot rates from a sparse set of observed term-structure points. It gives three observations at maturities of three, six, and nine months, then asks for rates at two and four months and whether a…
The document clarifies the notation u∧t that appears in a covariance integral while deriving the Vasicek model. It means the minimum of the two arguments: for example, when s is earlier than t, s∧t equals s. This is the same minimum-time structure used in…
This note explains an approximate way to translate the spread on a USD-denominated bond into an equivalent spread over a euro reference rate. It considers a euro issuer that borrows in dollars and uses the SOFR–ESTR cross-currency basis to express the USD…
This note addresses a Python type error when calculating a bond’s z-spread with QuantLib. The example passes a RelinkableYieldTermStructureHandle into BondFunctions.zSpread, but the available overloads expect a yield-curve object, producing an argument-type…
The document addresses how a reader with undergraduate probability and statistics can approach an empirical currency risk paper that uses asset pricing concepts such as stochastic discount factors, linear beta pricing, and efficient portfolios. The response…
The document addresses how to infer forward rate or caplet volatilities from cap prices or quoted cap volatilities. Its central method is volatility stripping: order caps by maturity, take price differences between consecutive maturities, associate each…
The document explains that 3-month Euribor is generally quoted as an annualized rate for clarity and comparison with other interest rates. ACT/360 specifies the day-count convention used to calculate interest: the actual number of days in the accrual period…
The document outlines a scenario-based approach to assessing the richness or cheapness of a government bond futures basis and asks how to value the end-of-month switch option. The described steps estimate historical betas for yield changes, apply directional…
The document explains why a bond forward’s impliedYield method does not directly return the yield of a forward-starting bond. In the example, applying it to the spot bond price and clean forward price produces a curve zero rate, because the forward price…
The document considers how to select a floating-rate fixing for a short initial accrual period in a USD interest rate swap. The accrual dates run from the end of April to the end of July, while the three-month LIBOR fixing convention gives a value period…
The document frames interest rate modeling as a historical progression, listing equilibrium models such as Vasicek and CIR, no-arbitrage models such as Ho–Lee and Hull–White, multifactor models, the HJM framework, the Libor Market Model, and the Forward…
The document asks how to infer market expectations for a future central bank decision from overnight indexed swaps or short-term interest rate futures. It introduces an OIS relationship that equates the fixed leg’s accumulation with compounded daily…
The document investigates why zero rates bootstrapped from USD overnight indexed swap quotes in QuantLib differ from Bloomberg values. It presents a curve-building example and identifies several convention mismatches that can explain the discrepancy: the OIS…
The document clarifies broad job terminology for research into fixed-income investment strategies. Index strategies aim to track a benchmark passively, while alpha strategies use an active systematic approach intended to outperform that benchmark. Momentum…
The document asks whether a QuantLib term structure can use one interpolation style for the short end and another beyond a chosen maturity. The example is an overnight-indexed swap curve with flat, stepwise behavior around central-bank meeting dates,…