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 question asks whether Macaulay duration can be calculated by discounting each cash flow with the spot rate for its payment date, rather than using one yield to maturity. It proposes weighting each cash flow’s time by its present value under the…
The document discusses a callable range accrual note linked to the EUR 20-year versus 10-year CMS spread, with Bermudan exercise. The proposed approach calibrates LIBOR correlations to short-maturity CMS spread options and volatilities to vanilla options.…
The document names vendor systems reported to support Basel III liquidity coverage ratio reporting. It identifies Moody’s RiskAuthority, formerly Fermat CAD, as a planned LCR solution, and cites OneSumX from Wolters Kluwer and SunGard’s Ambit Focus Liquidity…
The document clarifies that a random walk does not inherently require prices to rise as often as they fall, or upward and downward moves to have equal sizes. It presents a stock-price model in which log prices evolve through independent, identically…
The document addresses how to retrieve the dates of upcoming bond coupon payments and other scheduled cash flows in Bloomberg. One suggested bulk data field provides a security’s cash flow schedule, including payment dates and amounts. Bloomberg’s cash flow…
This note offers two practical checks for a bootstrapped interest-rate discount curve built from market instruments such as cash deposits, futures, bonds, or swaps. First, reprice the instruments used as inputs and confirm that the curve reproduces their…
This note addresses the apparent difficulty of valuing a swap whose final payment compounds a sequence of floating-rate accruals. Although the payoff is a product of rates that need not be independent, the answer starts under a payment-date forward measure…
This note describes why the rates returned by QuantLib’s ZeroCurve nodes can differ from the rates supplied to its constructor. When rates are entered with periodic compounding, the stored node values are converted to continuously compounded rates, so they…
This note explains how to derive discount factors from a six-month deposit followed by a six-by-twelve forward rate agreement. The two contracts cover adjacent accrual periods: the FRA begins when the deposit ends, so their dates do not overlap. Under simple…
The document compares three formulas for valuing a bond total return swap (TRS) and asks why they treat recovery differently. The accepted explanation identifies the cash-flow components of the swap: changes in bond value, bond coupons and principal,…
The document separates India’s fiscal calendar from the conventions used to accrue interest. It notes that QuantLib includes an Indian market calendar, but that this calendar identifies holidays and business days rather than defining a fiscal-year-based day…
The document asks how to turn simulated short-rate paths from the Cox–Ingersoll–Ross model into yields at longer maturities, and whether compounding short rates along each path produces the same price as the closed-form CIR zero-coupon bond formula. The…
This discussion considers how to summarize yield for a portfolio containing US government bonds and Treasury futures. One proposed approach is to compute a market-value-weighted average of the bonds’ yields to maturity. The replies distinguish the role of…
The document considers how to evaluate forecasts of an entire yield curve when the usual pointwise R-squared measure does not directly fit the task. The answer proposes extending mean squared error to curves by integrating the squared difference between the…
The document concerns practical profit and loss attribution analysis for fixed income portfolios. It notes a perceived gap between the extensive literature on pricing interest rate derivatives and accessible explanations of the methods used to explain…
The document explains an asset swap spread as two components for an investor holding a fixed coupon bond and swapping that coupon for floating Libor plus a spread. The first component is the bond coupon minus the swap rate. The second reflects the bond’s…
The document addresses how to estimate weekly bond returns when only a long-term corporate yield series is available. It explains that yields alone do not uniquely determine realized returns: bond prices also depend on coupon cash flows, maturity, and the…
The document asks how forward rate agreements can be used to infer the size and timing of expected central bank rate changes from a sequence of quoted forward rates and scheduled policy meetings. The replies caution that FRAs are not the most direct…
The document investigates why a bond with only one remaining coupon produces different clean prices and accrued amounts in Bloomberg, Excel, and QuantLib. It presents the bond’s settlement and coupon conventions, then compares reported prices under…
The document explains why a caplet is described as a call option. Its payoff is positive when the reference interest rate for a calculation period exceeds a contractually specified strike, making the payoff analogous to a call’s positive-part payoff. The…
The document explains the convexity exposure from pairing a long forward rate agreement with a short Eurodollar futures contract that has the same fixing dates. Its answer treats the futures payoff as linear in the underlying rate, so the futures contract…
The document asks how negative EONIA rates affect derivatives pricing, whether a party posting cash collateral must pay interest, and whether negative rates invalidate models that assume rates cannot fall below zero. The answer addresses the collateral…
The document asks how to hedge the curve exposure left after neutralizing the parallel DV01 of a nine-year bond with a short position in ten-year Treasury futures. It proposes comparing the bond-versus-ten-year and five-year-versus-ten-year DV01 differences,…
The document derives a zero-coupon bond pricing expression in the one-factor Hull–White short-rate model and connects it to the initial term structure. It gives the model’s mean-reverting short-rate dynamics, the exponential-affine bond price, and formulas…