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 document compares using an existing FIX engine directly with adopting a commercial API to connect to CME futures markets. Its central operational point is that pre-certification of an engine does not remove the exchange certification work required of the…
The document discusses whether currency futures or spot markets typically lead price discovery, including during news events. Its response describes major electronic spot venues and CME futures as interconnected liquidity pools. It says futures prices should…
The document compares methods for joining expiring futures contracts into continuous price histories, with attention to how roll adjustments affect chart interpretation and backtests. Difference, or Panama, adjustment adds or subtracts the price gap between…
The document explains the convexity exposure from pairing a long forward rate agreement with a short Eurodollar futures contract that has the same fixing dates. Its answer treats the futures payoff as linear in the underlying rate, so the futures contract…
The document asks how to hedge the curve exposure left after neutralizing the parallel DV01 of a nine-year bond with a short position in ten-year Treasury futures. It proposes comparing the bond-versus-ten-year and five-year-versus-ten-year DV01 differences,…
The document distinguishes an E-mini S&P futures session’s opening trade from its official daily settlement. The answer describes the opening price as the first trade after the evening session reopens, giving the start of the Monday session as an example. It…
The document considers how to represent the risk of a four-leg relative-value trade involving 10-year and 30-year swap spreads. Each spread combines a swap and a benchmark bond; the example takes opposing positions in the two maturities to express a view…
The document outlines how to estimate market-implied policy-rate changes using fed funds futures or overnight indexed swap rates. Fed funds futures settlement reflects an arithmetic average of overnight fixings, weighted by the number of days each fixing…
Treasury futures give the short position several delivery choices, including which eligible bond to deliver and when to declare delivery. The quality option lets the short choose the cheapest-to-deliver bond while futures are still trading. The wildcard…
The discussion explains how to translate a Treasury futures option position into the share-like quantity entered on Bloomberg’s OVME screen. The key distinction is between the futures contract’s nominal amount and the per-share face value used by the screen:…
The document considers why constructing the front end of a SOFR curve is harder than building the long end. It begins with a general calibration idea: choose curve parameters to minimize differences between model and observed instrument prices. The answer…
The document discusses aggregating hourly market data into daily open, high, low, and close bars whose boundaries follow trading sessions rather than UTC calendar days. The motivating example spans the Asian session through the New York close, with a day…
The document identifies a proposed long-short Treasury swap position as a 5s–30s curve steepener. The position is long five-year exposure and short thirty-year exposure, with sizing intended to make the legs duration neutral. Its stated rationale is positive…
The document outlines market instruments used to extend a USD LIBOR curve beyond the one-year limit of cash instruments. It suggests using exchange-traded futures tied to three-month LIBOR for maturities up to five years, then using USD swap rates for longer…
CME SOFR futures are quoted using an index equal to 100 minus the annualized compounded SOFR rate over the contract’s reference period. The document gives the dollar value of an index point as $2,500 for a three-month contract and about $4,167 for a…
The document discusses choosing hedges for a vanilla bond portfolio, including bond futures. It suggests that matching a portfolio’s DV01 and maturity to a futures contract is a basic starting point, then points to key rate durations as a way to measure…
The document asks where to obtain daily prices for commodity futures across contract maturities, including each contract’s time to expiration. The data is intended to calibrate a one-factor commodity model based on Schwartz (1997): log spot price follows a…
The document explores stochastic models for commodity spot prices and forward term structures in discounted cash flow and contingent-claim valuation. It identifies a challenge with geometric Brownian motion and exponential Ornstein-Uhlenbeck approaches:…
The note clarifies the timing distinction between a Eurodollar futures contract and a separate three-month deposit used to interpret its rate. The futures contract is marked to market daily through its final settlement at maturity T; it does not make a later…
The document explains how to choose a futures contract to hedge a commodity exposure, using natural gas as an example. It distinguishes next-day spot from near-term delivery positions: a longer-dated future may be a poor hedge for immediate spot exposure,…
The document examines whether a longer-dated futures contract on the same underlying should be more expensive than a shorter-dated one. It first gives the forward price under deterministic interest rates and continuous dividends: spot value is multiplied by…
The document asks how to calibrate Monte Carlo simulations for value at risk on a portfolio of energy futures. The positions include gasoline and oil products such as ultra-low-sulfur diesel and West Texas Intermediate, across multiple delivery months. The…
The document outlines an attempt to reproduce the Dow Jones-UBS Commodity Index from constituent futures prices. The described calculation applies annual commodity index multipliers to dollar-denominated prices, sums the products, and uses the change in that…
The document considers whether a Federal Reserve rate hike can be translated into an expected change in the 10 year Treasury yield, and which market instruments might support an estimate. It emphasizes that the relationship is not mechanical: a hike does not…