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 presents root mean squared error (RMSE) as a common quantitative measure of how closely a fitted curve reproduces its input market prices or yields. It is calculated from the squared differences between observed inputs and values implied by the…
The document addresses a data gap for research using Japanese government bond rates: the questioner needs long histories for three-month, five-year, and ten-year maturities, using free sources. Bloomberg and Capital IQ are ruled out by the stated data…
The discussion explains why two ticker symbols associated with one company can refer to different securities. It identifies one symbol as Series A preferred shares and the other as depositary shares representing a fractional interest in Series B cumulative…
The document investigates an apparent discrepancy between final-period asset swap cash flows shown in QuantLib and Bloomberg. The questioner’s displayed schedules seem to omit the final coupon from both swap legs, leading to a concern that the two systems…
The document discusses which forward price belongs in a Black model for an option on a futures contract. The option’s underlying is the specified futures contract, but the relevant price is associated with the option’s expiry. For an option expiring before…
The document introduces two ways to describe how a bond’s yield changes as time passes. Under a static curve, a bond held for a year moves to a shorter maturity and takes the yield associated with that shorter point on the unchanged curve. Realisation…
The document asks whether QuantLib’s GSR short-rate model can be used with TreeCallableFixedRateBondEngine to calculate option-adjusted spreads for callable or puttable bonds. The motivation is that Hull–White and Black–Karasinski work with this engine but…
The document derives the value of a noncallable perpetual bond whose coupon floats with a reference rate plus a fixed spread. In a single-curve framework, it discounts each projected forward-rate coupon and the spread component. The floating-rate portion…
The document explains how to interpret a cross-country collection of interbank and related money-market rate series. It distinguishes overnight, tomorrow/next, and spot/next lending periods by when each transaction starts and matures, and clarifies that…
The document examines how to calculate interest rate swap sensitivities when projected cash flows use a separate OIS discount curve. It questions whether an IRS par-rate shift should leave OIS discount factors unchanged, then explains that the answer depends…
The document explains how to assess carry and size the legs of a 10-year/20-year interest-rate swap steepener. The position receives fixed on the shorter swap and pays fixed on the longer one. For a swap against a six-month floating index, the example…
The document considers a fixed-payment annuity loan where a borrower cannot afford the scheduled payment. Under the proposed arrangement, the lender advances a new loan each month to cover the unpaid portion, with the same interest rate and term, and the…
The document raises the problem of transferring a SABR volatility calibration setup from swaptions to options on Treasury securities. The existing spreadsheet relies in part on a swap rate as an input, which does not directly fit the Treasury option market.…
The document examines the partial differential equation for a continuously paid caplet on a short rate. Starting from a hedged portfolio with instantaneous payoff max(rate minus strike, zero), the questioner derives a PDE with that payoff as a source term…
The post asks how to interpret the funding leg in an equity swap valuation. It lists the components of a present value expression—valuation date, notional principal, cash flows, accrual periods, discount factors, forward rates, and a floating spread—and asks…
The document discusses cointegration among more than two assets, using yield curve rates as its main example. It describes principal component analysis of yields: the first components represent level, slope, and curvature, while a later component can capture…
This troubleshooting example prices an interest rate cap with the Hull–White one-factor model in QuantLib. The reported null term structure message arises because the custom Ibor index needs a yield term structure to calculate forward rates, but the index…
The document clarifies the meaning of a T+1 call feature in an equity total return swap. T+1 refers to settlement timing: when the swap is called on date T, its cash value is determined at that time and payment settles one day later. The explanation applies…
The document asks why Black’s model can use a forward rate as its underlying. The response draws on swaption trading, where the forward swap rate is the key observable rate used in valuation. This connects the model’s choice of underlying to the instrument’s…
The note explains why expected credit loss calculations discount loan cash flows using the effective interest rate, even though that rate already reflects credit risk. The key distinction is between measuring expected loss at origination and recognizing…
The article surveys equities, fixed income, real estate, commodities, and digital assets as components of long-term portfolios. It describes broad diversification, age- and risk-based allocation, target-date funds, periodic or threshold-based rebalancing,…
This preview lays out how an upcoming U.S. Nonfarm Payrolls report could affect expectations for Federal Reserve policy and, in turn, Treasury yields, the dollar, gold, and U.S. equities. It presents three broad outcomes: moderate hiring that may support a…
The document explains how blockchain tokens can represent fractional interests in funds holding assets such as private equity, real estate, or U.S. Treasuries. It presents lower entry thresholds and potentially faster transfers as ways tokenization could…
The document presents Arbitrum as Ethereum Layer 2 infrastructure for tokenizing real-world assets, emphasizing faster transactions and lower costs. It describes regulated platforms such as Paxos using the network and discusses tokenized funds, including the…