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 sets out a Bellman problem for a representative investor in an endowment economy. The investor chooses current consumption, money to carry into the next period, and portfolio shares to maximize discounted expected lifetime utility. The budget…
The document explains how Bloomberg ticker suffixes distinguish types of financial instruments when requesting historical data in Excel. It identifies the currency suffix for swap rates, the commodity suffix for futures, and the index suffix for money market…
The document seeks to derive the present value of a fixed payment made at default before a horizon. It begins with an expectation of the discounted payoff conditional on default by the horizon, then gives the default-time density in terms of the hazard rate…
The document examines a multiple-choice explanation of yield spread for a coupon bond priced using continuous discounting. It contrasts the bond's yield to maturity with the risk-free spot curve and asks whether yield spread should instead compare the bond's…
The document asks whether a bond’s yield to maturity can be broken into separate yields for two component cash-flow streams. It represents the bond’s present value as the discounted value of total cash flows, with each period’s payment split between…
The document explains how to estimate an issuer’s zero-coupon or discount curve when the available instruments are fixed-coupon corporate bonds with uneven maturities. It presents whole-curve approaches such as Nelson–Siegel and piecewise cubic curves, and…
The discussion explains why LIBOR rates for different maturities do not necessarily lie on one interchangeable curve. Lending for a longer period can carry different credit and liquidity exposure than rolling over shorter loans, so rates at different tenors…
The document states the Feller condition for the Cox–Ingersoll–Ross short-rate process: when twice the mean-reversion speed times the long-run mean is at least the squared volatility, the process remains nonnegative and does not reach zero from a positive…
The document asks how to infer the probability of default by year two when only an annual default probability of 8% is given. One answer models survival probabilities as log-linear over time, which corresponds to a piecewise constant hazard assumption.…
The document introduces the two-factor G2++ short-rate model, in which the short rate combines two mean-reverting Gaussian factors with a time-dependent shift. It notes that the model can reproduce several stylized features of the yield curve, yet may not…
The document raises a valuation question about estimating the price of a privately traded loan portfolio when comparable market prices are unavailable. It notes that the weighted average cost of capital formula shown includes an after-tax cost of debt, then…
The document outlines a way to solve the final ordinary differential equation arising in a Cox–Ingersoll–Ross model proof. The answer rearranges the equation by completing the square, then separates variables and integrates from the initial value to the…
The discussion explains how to convert a quoted one-month Treasury bill yield into a daily return proxy for CAPM. The proposed conversion compounds the annualized yield over a daily calendar-year fraction, after converting a percentage quote to a decimal.…
The answer shows how to step forward a mean-reverting stochastic process using Euler discretization. At each time step, the next state is formed from the previous state, a drift term that pulls it toward a long-run level, and a random shock scaled by the…
The document outlines a curve-construction problem for non-deliverable swaps in emerging-market currencies. The proposed relationship combines a SOFR-versus-local-currency-plus-spread swap with a local-currency-plus-spread-versus-fixed-rate swap. Together,…
The note explains how to represent a bond whose payment at each coupon date is a fixed cash amount, regardless of the payment frequency. In QuantLib’s standard fixed-coupon bond setup, specify the coupon frequency as payments per year and set the annual…
The document asks how the market price of risk enters the bond-pricing equation for a Vasicek short-rate model. It outlines a hedged-portfolio argument for deriving a bond pricing PDE, then compares a general short-rate process with the Vasicek…
The document addresses whether a discrete discounted cash-flow sum for a futures contract should use the discount factor at the beginning or end of each interval when passing to a continuous-time expression. One response relates the choice of sampling point…
The document explains why Yahoo Finance’s 13-week Treasury yield values can differ from the U.S. Treasury’s three-month constant-maturity series. It points to a Treasury methodology note: when market conditions produce negative yields on securities used as…
The document considers whether bond market price of risk should be constant across maturities, as in a simplified arbitrage-free model, and whether market data could test that relation or reveal arbitrage. The answer emphasizes that observed term premiums…
The document explains why a newly issued version of a credit index may not trade. A new index series typically becomes on the run, while earlier series remain in existence until their contractual maturity as off the run instruments, often with lower…
The document considers whether 2-, 5-, 10-, and 30-year GBP swap tenors are suitable risk buckets. It outlines PCA of daily swap-rate changes and suggests examining how much variation the leading components explain, how chosen tenors relate to component…
The document explains the instantaneous or cash FX rate as the rate for settlement today, distinguishing it from tomorrow (T+1) and spot settlement (typically T+2). Overnight (ON) and tomorrow-next (TN) swaps bridge those settlement dates. Combining the…
The document asks how to construct futures hedge ratios for a spot-starting one-year SOFR interest-rate swap. The example is dated partway through an IMM futures period and proposes using a strip of SOFR contracts spanning the swap tenor. The proposed…