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 note explains why a long five-year credit default swap can lose value when spreads at maturities shorter than five years rise while the five-year spread stays unchanged. A change in those shorter spreads affects the premium leg, but it can also change…
The document raises a practical question about constructing a 2–5–10 year interest-rate swap butterfly. It asks whether the position should be assembled from spot-starting swaps or from forward-starting swaps, giving an example that combines a…
The note considers a forward on a Treasury security that will be issued later as the then-current on-the-run bond. Because its coupon is set around the future auction and the new issue is expected to be near par, trading a forward price has little economic…
The document asks how to add a tactical forecasting layer to a plain risk parity allocation. Its example is anticipating a shift in fixed income from a bullish to a bearish trend and reducing duration to hedge the portfolio. It also asks about forecasting…
The document describes two ways to quote an existing interest rate swap position. The standard market convention is to quote the fixed rate of a new swap with matching dates and floating leg; this par rate is the rate that makes the swap’s initial market…
A zero floor in a Credit Support Annex prevents the rate paid on cash collateral from falling below zero, even when the overnight index swap rate is negative. The document explains that the floor’s value is relative to an otherwise comparable agreement…
The document explains a constructor error encountered while creating a fixed-rate bond in QuantLib. The example passes settlement details, dates, a coupon period, and a calendar directly to the bond constructor; the reported type error indicates that this…
The question concerns a QuantLib fixed-rate bond whose semiannual coupon cash flows vary slightly instead of equaling a constant half-year coupon. The code builds a bond schedule with dates adjusted to business days and uses Actual/365 Fixed for coupon…
The discussion examines whether normal rate volatilities converted into lognormal volatilities can support a standard lognormal Libor Market Model when forward rates are negative. A simple at-the-money conversion divides normal volatility by the absolute…
The document addresses recovering a probability density from the characteristic function of an affine stochastic intensity process. A question presents the Fourier inversion integral and a MATLAB attempt using CIR coefficients, but the characteristic…
The document explains why a Treasury futures settlement price cannot be converted to a bond yield by treating the contract as a single fixed-coupon bond. A futures contract can have several eligible deliverable securities, each with a conversion factor…
The document asks how to value inflation-linked instruments in a Monte Carlo model when an index is published after the reference month. The example uses the UK RPI index and a Jarrow–Yildirim setup in which inflation evolves alongside nominal and real…
The document surveys ways to create synthetic market series for testing trading strategies, motivated by daily bond-price and credit default swap index data. One proposed technique comes from surrogate-data methods: transform a series into the frequency…
The document clarifies the role of the year fraction in a pricing formula for an inflation-indexed caplet or floorlet. In the usual market context, the formula is for a year-on-year option: the dates index successive years, so the day-count fraction is…
The document raises a fixed-income relative-value question about trading a deliverable bond that is not the cheapest to deliver (CTD) against a bond future. The proposed position is long the cash bond and short the future, with the expectation that the…
The document explains how to retrieve bulk reference data through Bloomberg’s API, in the context of finding historical benchmark information for Canadian yield curve tenors. It notes that a bulk reference field uses the same general request type as other…
The document describes the problem of filling gaps in a scattered cube of normal volatilities for European swaptions. The three dimensions are swap tenor, option expiry (term), and strike. The author seeks a practical interpolation approach and asks how…
The document explains how to model an interest rate swap whose floating payments are a fraction of an index rate, using QuantLib for Python. Its example targets a floating leg equal to a specified proportion of a LIBOR index, a structure the question notes…
The document clarifies the meaning and units of Bloomberg's YAS_RISK field for bonds. A reply attributed to Bloomberg support says the field represents DV01 divided by 100: DV01 is the bond's price change for a one-basis-point change in yield. The field is…
The document discusses generating credit default swap scenarios for value-at-risk and expected-shortfall analysis. The accepted response argues that historical market data alone can misrepresent credit risk because spreads may remain stable and then jump…
The note addresses a confusion about comparing a bond putable at a specified date with a callable bond of a stated maturity, and whether put-call parity makes their values equivalent. Its answer focuses on the investor’s option position: the holder of a…
The note explains why repo is treated as the financing cost of a bond, even though a cash lender in a repo receives both interest and bond collateral. It clarifies the usual trading terminology: bidding repo means seeking the bonds, while offering repo means…
The document addresses how to derive discount factors, and hence zero rates, from EUR plain vanilla swap par rates. The response points out that the referenced EUR swaps versus six-month rates use annual payments in the curve setup described, despite the…
The document explains why swap rates are commonly used to build the long end of interest rate curves, while clarifying that a swap curve is not a direct measure of a bank’s bullet borrowing rate. Banks that make fixed-rate loans may use swaps to convert…