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 describes a way to create synthetic forward rate agreement exposure using Eurodollar futures. Its example combines a long position in a contract expiring in 120 days with a short position in one expiring in 30 days to represent exposure to a…
The document considers how to hedge a borrowing cost that floats with the federal funds rate plus a lender margin, when swaps are unavailable. It discusses short positions in two-year Treasury futures and federal funds futures, and suggests Eurodollar…
The document addresses how FX traders estimate forward prices for maturities that are not directly quoted. It reports that linear interpolation of forward points is common practice. The rationale is that forward points are a difference from spot and can be…
The document discusses how to judge whether parameters in a displaced Cox–Ingersoll–Ross model are sensible when calibrating interest-rate data. It emphasizes that CIR parameters depend on the asset and underlying, so values should not be transferred…
The document describes an attempt to reproduce EUR/USD cross-currency basis discount factors from market inputs. The author first builds EUR and USD overnight-indexed swap curves, then uses FX forward invariance to infer EUR discount factors under a USD…
The document distinguishes fitting a yield curve to observed bond prices or yields from specifying a term structure model such as Hull–White or the Libor Market Model. It argues that flexible models can be constructed to fit a given curve, while practical…
The document explains how to solve for a bond’s yield to maturity in Excel instead of repeatedly changing the discount rate by hand. It recommends the RATE function, using the number of coupon periods, coupon payment, and bond price and face value as inputs.…
The discussion asks whether expected credit loss calculations need probability of default (PD) and loss given default (LGD) estimates that vary with time in a staging category. It describes a common IFRS 9 approach: estimate through-the-cycle (TTC)…
The document explains how the Ho-Lee model’s time-varying drift parameter is calibrated so a short-rate tree matches observed market bond prices or spot rates. In the discrete tree, each step combines the prior rate, a deterministic drift adjustment, and a…
The note addresses how to estimate Treasury futures prices under interest-rate shocks when the cheapest-to-deliver bond might change. It explains that the futures price need not be known first to identify the cheapest-to-deliver security. A simplified…
The question concerns preparing inputs for Hagan and West’s monotone convex interpolation when constructing a six-month EURIBOR forward curve with an ESTR discount curve. Short-end FRA quotes directly provide discrete forward rates, but longer-maturity par…
The note outlines risks that can destabilize a leveraged Treasury cash-futures basis trade. It identifies three possible pressures: repo funding costs can surge, futures prices can move through cash prices during a rush for safe assets, and higher volatility…
The document discusses adjusting short-term interest rate (STIR) futures rates when calibrating a curve that also uses interest rate swaps. It outlines theoretical approaches based on short-rate models or volatility and covariance estimates, as well as…
The document explains how an OIS fixed rate is determined by constructing curves that value the compounded overnight floating leg. Depending on currency and tenor, market inputs may combine outright OIS swaps at shorter maturities with IBOR swaps and…
The document suggests finance applications for natural language processing projects, emphasizing tasks beyond generic news or social-media sentiment analysis. Proposed research directions include extracting risk-factor exposures from company reports,…
The document addresses how to learn to build project finance spreadsheets, including modeling debt and equity, hurdle rates, internal rates of return, and alternative financing structures. The replies recommend constructing models from scratch so the learner…
The document distinguishes an overnight index swap (OIS) rate from a risk-free rate (RFR). An RFR is an overnight benchmark published from underlying transactions, while an OIS is a derivative whose floating leg references overnight fixings, often compounded…
The document explains why a quarterly QuantLib schedule anchored by a first coupon date on June 30 can produce December and March dates on the 30th. Forward generation with that first date establishes the 30th as the recurring roll date, while an adjusted…
The document examines a modeling question raised by Piterbarg’s collateralized Black–Scholes framework. It distinguishes the OIS rate used for a collateral account from the repo rate used for financing a stock, and asks how the associated risk-neutral…
The response outlines a simple way to separate stable and volatile portions of non-contractual deposit balances for behavioral analysis. It proposes smoothing daily balances with a moving average to reduce seasonal effects while retaining the underlying…
The document explains a convention choice for in-arrears swaps: whether a floating rate fixed at a period date applies to the following accrual interval or to the interval that has just ended. The responses favor using the prior period’s accrual dates,…
The document describes how to calculate duration, modified duration, and DV01 for a Treasury bill treated as a discount instrument and for a zero-coupon bond. It states that zero-coupon duration is based on time to maturity, scaled by price, and that…
The discussion considers how to calculate weekly excess returns for exchange traded funds by subtracting a short-term risk-free return from each fund's arithmetic return. The question is whether a Treasury bill rate should be lagged to reflect when it was…
The document works through a time-value-of-money question: find the level payment C that makes a series of inflows equivalent to a schedule of outflows at a stated annual interest rate. The answer lays out the cash flows by period, applies a discount factor…