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 derives a pricing expression for a non-deliverable FX forward whose fixing date precedes settlement. It rewrites the discounted payoff using the domestic forward measure associated with the fixing date, then models the exchange rate and domestic…
The document discusses no-arbitrage valuation of an existing forward contract at an intermediate date. The worked setup calculates the forward price at inception from the spot price and the full-period financing factor, then recalculates the current forward…
The document concerns expected-loss calculations for a collateralized debt obligation using the proxy distribution algorithm from Shelton's “Back To Normal” paper. The questioner is unable to reconcile their results with the standard recursion method and…
This note considers how a humped USD interest-rate swap curve affects zero rates, forward rates, and modeled spot curves at future dates. The author describes bootstrapping a zero curve from swaps using a two-factor Hull–White model with constant parameters,…
The discussion proposes treating corporate debt instrument choice and financing volume as related but separate modeling tasks. A researcher could first estimate the probability of issuing each debt type, then use issuance type as an input to a volume model,…
The discussion explains how liabilities enter a structural credit model that infers default risk from a firm’s equity and asset values. One practical convention uses short-term debt plus a portion of long-term debt as the default-point proxy, while equity…
The discussion considers whether a portfolio bond-liquidity score can be built from bid-ask spreads and a published liquidity score. It distinguishes the relative spread, calculated against the bid price, from the absolute spread, and questions whether…
The document distinguishes three related but different concepts. The Effective Federal Funds Rate measures unsecured overnight borrowing between financial institutions. SOFR represents overnight Treasury repo borrowing, which is secured by Treasury…
The document asks where a proof in Damir Filipovic's term structure text uses the assumption that the world is deterministic. It identifies the notation for a zero-coupon bond price at time t with maturity T and observes that the result under discussion is…
The document asks how European authorities handled banks during the sovereign debt crisis, distinguishing smaller institutions allowed to fail from systemically important banks that received support. It seeks named examples of failures and bailouts, the…
The document frames a request to derive risk-neutral pricing for a zero-coupon bond in a continuous-time, two-state Markov credit model. The states are no default and default. At maturity, the bond pays its full face amount if the issuer has survived, or a…
A bond’s Z-spread is found by projecting its cash flows and shifting a reference swap curve in parallel until the discounted cash flows equal the bond’s dirty price. The note explains that this calculation depends on accurate bond terms and an appropriate…
This short exchange clarifies what it means to post cash collateral in an over-the-counter transaction. Cash collateral is transferred electronically; it does not mean that another security is posted in place of the stated cash. The response also explains…
The document outlines a relative-value signal for capital structure arbitrage, where a trader compares a company’s equity with its debt. It proposes tracking implied volatility on out-of-the-money equity puts alongside either the bond Z-spread or the…
The document explains why a US Treasury bill is commonly used as a risk-free rate proxy: many calculations require a short-term benchmark, and bills provide a money-market maturity. Longer-dated bonds do not serve the same purpose because their maturities…
The document asks which interest rate curve should be shocked when valuing interest-sensitive assets under Solvency II. The questioner understands that future asset cash flows are discounted with shocked rates, but is uncertain whether to shock risk-free…
The document explains how to fit a Nelson–Siegel–Svensson (NSS) yield curve when zero-coupon yields are not directly available. Its central point is that zero rates can be treated as outputs of the model rather than required inputs: for each trial set of NSS…
The discussion describes how on-the-run Treasury prices emerge from investor supply and demand, with expectations for the future path of short-term interest rates cited as a major influence on yields. It then presents a market-structure view in which liquid…
The discussion explains why QuantLib can return identical bond prices for Compounded and CompoundedThenSimple conventions, and likewise for Simple and SimpleThenCompounded, when settlement falls in the first coupon period. The explanation points to…
The document explains a QuantLib curve-building error that occurs when multiple instruments map to the same maturity pillar. In that situation, the bootstrap has more constraints than a single zero rate can satisfy, particularly if the instruments imply…
When a local market has no observable swaps or FX forwards, government bond yields can anchor an estimate of the cross-currency rate. The proposed method compares markets where both bond yields and cross-currency rates are available, selecting peers with…
The note considers how to estimate a bond’s price change from the passage of time, in a context where PV01 is used to approximate P&L from yield-curve movements. The central point is that time passage alone does not define a unique scenario: the calculation…
The document examines how simultaneous or clustered credit events affect the payoff mechanics of a first-to-default credit default swap. Based on an informal reading of nth-to-default term sheets, the answer suggests that when adjacent ranked defaults occur…
The document asks how to infer a yield from a Treasury bond futures price and outlines that the calculation has several possible approaches. The key instrument link is the futures contract's cheapest-to-deliver (CTD) bond: translating the futures quote into…