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 a common way to calculate a floating-rate bond's yield. Rather than constructing a synthetic fixed-rate bond, the analyst projects each unset coupon from the relevant reference-rate curve and adds the bond's quoted margin. The projected…
The document explains how an underlying bond's approach to maturity affects its inclusion in a high-yield bond index. Under the cited iBoxx USD High Yield Developed Markets Index Guide, an existing constituent must have at least one year of expected…
The document describes a C++ lifetime problem when returning a QuantLib linear interpolation object from a function. The example constructs the interpolator using iterators into local vectors of time points and values. Those vectors are destroyed when the…
The document poses a credit-risk question using a three-state annual transition matrix for ratings A, B, and default. It asks for the credit spread ten years ahead for a company currently rated B, with the spread calculated semiannually. The author…
The document examines how a plain bullet bond’s price changes as time passes while yields are held constant, and how to locate the change from price appreciation toward convergence to par. It differentiates the discounted cash-flow expression with respect to…
The document asks which probability measure to use when simulating short rates to plot the future price of a zero-coupon bond in the Vasicek model. It distinguishes the real-world process, with its objective long-run rate, from the risk-neutral process used…
The document explains that key rate durations can be calculated by shifting either a par yield curve or a spot, also called zero-coupon, curve. It treats both approaches as valid, so the choice is not presented as a question of one method being…
The document clarifies how to interpret a compact swap-rate quote written with two values separated by a slash. In the example, the first value is the bid rate and the second is the offered, or ask, rate. The difference between those quoted sides is the…
The document explains why local overnight indexed swap curves for two currencies alone may not reproduce market FX forward rates. The difference arises because market participants cannot necessarily borrow or lend at those rates in both currencies. A…
The document asks how to value collateral posted or received for a cross-currency swap when the credit support annex permits collateral in a currency different from the swap’s native currency. It distinguishes the CSA-adjusted discount factors used to value…
The document explains that a forward swap rate is a martingale under the risk-neutral measure associated with the swap annuity numeraire. It presents the rate as a ratio: the difference between zero-coupon bond values at the swap’s start and end dates…
The document explains a way to view a vanilla five-year interest rate swap as two components: its first floating coupon, already fixed from the three-month reference rate, and the remaining coupons represented by a forward-starting swap beginning three…
The note explains how to calculate the equity risk premium when both equity and Treasury bill returns are reported in nominal terms. It separates nominal returns from real returns and expresses each as a combination of the real risk free return, inflation,…
The document explains how a U.S. Treasury bill’s quoted discount rate relates to its price and coupon-equivalent yield. Because a bill has no coupon, the standard coupon-bond valuation formula is not the relevant calculation. The accepted answer says the…
The document considers which daily risk-free rate proxy to use when estimating a capital asset pricing model for German stocks. It explains that researchers commonly use short-term rates, with U.S. studies often using Treasury bills and European studies…
The document describes a Hull-White interest-rate model calibration problem. The questioner calibrates the model to cap and floor prices while using an OIS curve to match the current term structure. Caps are priced correctly, but floors show large errors,…
The document asks how to turn a factor that tracks price into buy and sell decisions, using the difference between German and US ten-year yields alongside EUR/USD as an example. One response describes a pairs trading approach: first test whether the series…
This exchange explains how a bond futures contract relates to the bond delivered at expiration. The question asks whether the conversion factor determines the face amount of the cheapest-to-deliver bond corresponding to a futures position. The answers…
This discussion asks why a bond with a market price of 150 might seem unattractive to an investor who expects to receive only 135 after taxes. The example assumes a five-year, risk-free bond with a 10% coupon and zero rates, then compares the bond’s purchase…
The document asks how to reproduce discount rates for the long end of a zero-rate curve shown in a Bloomberg terminal. It distinguishes short maturities, described as zero-coupon swaps and calculated with a simple rate-and-period formula, from longer…
The document examines why Macaulay duration and modified duration can have different interpretations of their units. Macaulay duration is a cash-flow-weighted average time to payment. Modified duration measures bond-price sensitivity to yield; the accepted…
The document asks why futures do not have price alignment interest of the kind associated with cleared swaps, and whether interest received on margin must be repaid to the counterparty. The answer explains the distinction through daily settlement: futures…
The document describes unstable weights produced when principal component analysis is applied to rolling windows of fixed-income yield levels. The analyst extracts the first two component vectors, fixes one weight, and solves a linear system for the others;…
The document asks how to calculate bond yields for a very large dataset more efficiently than applying a Newton solver row by row in a Python loop. Its example prices a coupon bond from face value, payment frequency, remaining periods, coupon, and market…