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 payment timing affects interest on an amortizing loan. Interest accrues on the outstanding balance, so paying earlier reduces the balance sooner and can lower later interest charges. The same principle applies when comparing one…
The document asks whether a short-rate model formed by exponentiating a Vasicek Gaussian process produces an affine term structure, where zero-coupon bond prices have an exponential-affine form in the current short rate. The accepted response derives the…
The post describes pricing bond or loan cashflows at a future reference date using a discount curve built from today’s discount factors. It asks whether changing the reference date in QuantLib’s cashflow NPV calculation automatically produces the appropriate…
The document clarifies how continuously compounded and annual-effective risk-free rates relate to the per-step rate in a discrete binomial model. Even when the asset tree advances in discrete steps, the risk-free rate may be quoted continuously; for a step…
The document asks how to measure the effect of a parallel interest-rate shift on quarterly valued, illiquid investments such as private real estate, infrastructure, and private equity. It identifies practical complications: limited observations, smoothed…
The document explains how a turn-of-year funding-rate jump can be estimated and represented in bootstrapped interest-rate curves. One approach compares an overnight curve built with the year-end forward level to a second curve where that level is…
The note derives the dynamics of a discounted asset price in the Heath–Jarrow–Morton framework. It identifies the stochastic integral as its own process, then applies Itô’s lemma first to the exponent and again to the exponential defining the price. This…
The document asks why institutional portfolios might hold a sizable allocation to short-term fixed-income instruments, such as repo, while also maintaining a similarly sized unfunded position in another asset class. It distinguishes this allocation from cash…
The document describes a QuantLib performance issue when constructing OIS rate helpers for a discount curve and updating swap valuations across evaluation dates. In the author’s timing comparison, creating OIS helpers takes much longer than creating deposit…
The document asks how to estimate the one-year roll-down of forward-starting interest-rate swaps when the available data contain only selected forward swap rates. It defines roll-down as the difference between the current forward-starting rate and the rate…
The document discusses ways to obtain interest-rate exposure in currencies outside the G10. Its answer recommends interest-rate swaps for intermediate and longer maturities and forward rate agreements, including non-deliverable versions where relevant, for…
The document asks how to choose a second interest rate swap’s notional schedule when construction loan drawdowns are arriving faster than forecast and may accelerate further. The borrower already pays fixed and receives floating on a swap sized to the…
The document asks whether effective yield or option-adjusted spread is more useful for incorporating credit risk in floating-rate coupon bonds, and how either measure relates to volatility estimation. Its answer notes that a floater’s yield can be calculated…
The document considers a Johansen maximum-eigenvalue test for whether house prices, income, interest rates, and rental vacancy rates share a cointegrating relationship. The questioner interprets the output as indicating one relation, forms a linear…
An overnight indexed swap (OIS) exchanges a fixed rate for the compounded return on a chosen overnight rate over the swap’s term. In the United States, the referenced Federal Funds rate is unsecured, so an OIS linked to it reflects expectations for…
The document asks how Bloomberg may derive USD overnight indexed swap quotes at maturities of seven years and longer from USD three-month LIBOR par swaps and LIBOR–federal funds basis swaps. It describes a synthetic fixed-for-floating federal funds swap:…
The document outlines a basic valuation workflow for a three-year swap with a fixed leg paying 3.5% semi-annually and a floating leg receiving BBSW, on a stated notional of $100 million. It begins by interpolating the supplied curve to six-month tenors, then…
The document concerns a mortgage-backed-securities repo borrower facing a sharp increase in funding spreads during market turmoil and asks whether a quoted rate is reasonable or comparable with other borrowers’ costs. The response says that average repo…
The document examines whether a swaption expiring at an intermediate date and entering a later-starting swap can be replicated by combining two swaptions. The accepted explanation rewrites the underlying forward-starting swap as a long swap from the…
The discussion asks how to convert a ratings transition matrix estimated over a longer horizon into a shorter-period matrix. Repeated multiplication gives a matrix for a longer horizon, while the proposed reverse operation is to take a matrix root. The…
The discussion considers what additional time series might help a neural network forecast daily foreign exchange rates. Suggested inputs include currency crosses, interest rate differentials, yield curve slopes, and changes in rates, along with country-level…
The question examines how to value an asset when its risk and discount rate change over time. The author is unsure why a rate at an earlier date would affect later cash flows and compares a combined asset with separate risky and risk-free cash flows. The…
The document explains the distinction between credit valuation adjustments on derivatives and credit risk in a bond portfolio. Its answer says CVA and DVA are adjustments to a derivative’s fair value for costs and risks associated with the counterparty. A…
The document discusses a futures and bond arbitrage explanation involving two prices, an initial cash difference, and its value at a later time. The answer describes shorting the more expensive side and using the proceeds to buy the cheaper side. It then…