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 asks what can move the Mexico cross-currency basis curve and whether FX changes or expected rate cuts are the main drivers. The answers explain the basis as a measure of deviation from covered interest parity and a signal of relative demand for…
The document asks how a physics undergraduate with some Python, machine-learning coursework, and numerical computing experience can prepare for quant roles. The answer proposes using QuantLib as a practical test of programming and financial modeling ability,…
The document considers a Bermudan callable bond whose observed price appears to approach its redemption value before a call date and then rise when the issuer does not call. It explains that an arbitrage-free model may predict a call when the issuer has…
The note explains the difference between measuring interest-rate risk by individual tenors and measuring it on a single, undecomposed curve. For delta, rates at standard maturities can be shifted one at a time to estimate tenor sensitivities; their sum…
The document explains an FX swap as an exchange of currencies at spot with a later reversal, and asks how to value the remaining cash flows. Its answer emphasizes that market quotes use forward points: the forward rate is the spot rate plus the quoted…
The document explains why fixed-rate and floating-rate bonds can require distinct curves in a pricing setup. A discount curve supplies the factors used to value a bond’s cash flows, while a forward curve estimates the reference rate that determines future…
The document addresses how a credit union might estimate the funding benefit of equity in a funds transfer pricing or risk-adjusted profitability model. The proposed calculation multiplies the target capital ratio by the loan’s risk weight and by the cost of…
The document explains how to infer an implied USD borrowing rate from EUR/USD spot and overnight forward-point quotes when borrowing dollars through an FX swap. The key correction is to compare the forward exchange rate with the same spot rate used in the…
The note asks how to determine the time-dependent drift parameter in the one-factor Hull–White short-rate model when pricing zero-coupon bonds. It states the short-rate process as a mean-reverting rate with a time-varying drift and constant volatility, then…
The note explains how to interpret the units of DTS, defined as spread duration multiplied by the current credit spread. It starts from the approximate price change relation using spread duration and an absolute spread move, then rewrites the change in terms…
This note explains how to interpret the mean-reversion parameter in the Vasicek and Cox–Ingersoll–Ross short-rate models. The parameter is not itself the instantaneous rate of change: the expected drift also depends on the gap between the current short rate…
The document investigates why a QuantLib USD overnight indexed swap curve built from Bloomberg par rates reproduces Bloomberg discount factors at short maturities but diverges slightly at longer tenors. The example constructs OIS rate helpers and a…
The note asks why modified duration equals Macaulay duration divided by one plus the yield, seeking an intuition beyond the derivative-based derivation. The response frames Macaulay duration as the present-value-weighted average time at which a bond’s cash…
The document asks how to calibrate the market price of risk in the Black–Karasinski short-rate model when zero-coupon bond prices lack a closed-form expression. The proposed Monte Carlo approach simulates short-rate paths, discounts cash flows along them,…
The document discusses how to include swaps, FX forwards, and other non-equity derivatives in Monte Carlo Value at Risk simulations. It contrasts sensitivity-based approximations with full revaluation under simulated market scenarios. Sensitivity methods…
The document presents a fixed-income futures position and asks why its realized price-based loss differs from a loss estimated using the change in the underlying Treasury note’s yield. The trader reports buying a US two-year note futures contract, later…
The note derives a way to divide a total fund among people who retire at different times so that each allocation grows to the same value at that person’s retirement. It assumes a constant return and annual compounding. Each person’s share is set in…
The document identifies a source for Swiss zero-coupon bond yield curve data: the Swiss National Bank’s data portal. The original question explains that the data is sought for research and that the asker could not access a Bloomberg terminal. The reply…
The document examines whether a standard LIBOR floating-rate leg remains worth par when its cash flows are discounted using the OIS curve. It introduces the single-curve bond and forward-rate identity that would imply par value, then asks whether that…
The document explores how carry and delivery optionality can affect the basis between a Treasury futures contract and its cheapest-to-deliver bond near contract expiry. It considers a long basis position under both upward-sloping and downward-sloping yield…
The discussion explains why a USD three-month LIBOR coupon in a cross-currency swap can accrue over 90 days even when its payment arrives 92 days after the deal date. The trade starts at settlement, two days after the valuation or deal date, and the LIBOR…
The document distinguishes estimating mean reversion from historical rate observations from calibrating a pricing model to market instruments. Under the historical measure, it describes representing rates with a discrete autoregression: regress the next rate…
The document investigates whether discount factors calculated from a Nelson–Siegel–Svensson yield curve are implausibly small. It applies the model to maturities from six to thirty months, converts the fitted zero-coupon rates into discount factors, and uses…
The document asks how to express a callable bond’s payoff and relate its value to a straight bond and an embedded call option. It presents a proposed payoff formula for a bond callable at a specified date and strike, but does not validate the formula; the…