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 discusses a QuantLib bootstrapping error caused by combining Japanese yen overnight indexed swap market data from two trade dates in one curve. Instruments from different dates can share maturity pillars, triggering a duplicate-pillar error, but…
The document explains the credit triangle linking a credit spread, loss given default, default intensity, and survival probability. Under constant intensity and recovery assumptions, the spread divided by loss given default gives the default intensity, and…
The document explains how two expressions for the conditional short-rate distribution in the Hull–White model are related. Starting from the model’s stochastic differential equation, it gives the conditional mean and variance when the drift parameter is…
The document considers how to estimate a portfolio’s sensitivity to movements in one yield curve when positions also depend on correlated prices and rates. It suggests starting with assumed volatilities and correlations: shock the target factor, infer…
The document asks how to interpret one-, two-, and three-month US Treasury Constant Maturity (CMT) par yields when converting them into discount factors. It contrasts treating each quote as a discount bond with treating it as a hypothetical coupon security,…
The document asks whether the Brownian motions in the SABR stochastic differential equations are specified under the physical measure or a risk-neutral measure. Its answer explains that a forward rate is modeled as a martingale under the measure associated…
The document explains how to value a floating-rate bond when both interest rates and future coupon amounts are uncertain. For a coupon period, it defines the rate using the price of a zero-coupon bond at the rate-setting date, then changes to a forward…
The document explains how to choose among QuantLib’s deposit, FRA, and swap rate helpers when constructing an interest-rate term structure. The key rule is to match a helper to the instrument represented by the market quote, rather than selecting it solely…
The document asks which EURIBOR rates to use when projecting future interest income on a bank’s loans: zero coupon rates or forward rates. The response recommends zero rates for this purpose, reasoning that they relate to investment over a period ending at…
The document considers whether a dealer can charge a client a fee when the parties add cash collateralization to an existing, uncleared derivatives relationship. Its setup assumes a master agreement and a single-currency collateral agreement with zero…
The document surveys simulation methods for the Cox–Ingersoll–Ross short-rate process, whose square-root diffusion can produce negative values under a naive Euler–Maruyama step. Negative simulated rates break subsequent square-root updates, so preserving…
The document compares quick yield-to-maturity estimates with cash-flow discounting across the zero-coupon curve when pricing corporate bonds. For a bond with large interim coupons or amortizations, a single maturity-based risk-free rate can misrepresent the…
The document derives the pricing equation for a zero-coupon bond when the short rate follows a Vasicek-style jump diffusion. The rate combines mean reversion, square-root diffusion volatility, and independent Poisson jumps with exponentially distributed…
The document explains how to view a fixed-rate bond that the issuer may redeem on specified dates as a bond plus an issuer-held Bermudan call feature. Unlike a holder-exercised option, the issuer’s exercise decision works against the bondholder, so the…
A credit index can be compared with a portfolio of single-name credit default swaps that references the same constituents on matching terms. If the index and the component portfolio diverge sufficiently in value, the difference, called skew here, may create…
Short-term interest rate futures imply an average reference rate over each contract period. To estimate the rate expected after a central bank meeting, carry the known pre-meeting rate across the days before the meeting, then solve a day-weighted average…
The document explains how to create a zero yield curve in QuantLib-Python when zero rates are already available, rather than first bootstrapping them from market quotes and rate helpers. The accepted answer describes supplying maturity dates, corresponding…
The document describes a question about US commercial banks’ over-the-counter interest rate derivatives. In the data examined by the author, non-dealer banks have a substantial share of written options relative to their total interest rate derivative…
The document investigates why a QuantLib bootstrap for Singapore’s SORA overnight curve matches quoted rates at short maturities but diverges from the input quotes at longer maturities. The proposed diagnosis is a mismatch in floating payment frequency: the…
The question outlines a Monte Carlo approach to option-adjusted spread (OAS) for a mortgage-backed security: simulate interest rates, derive mortgage rates along each path, project cash flows, discount them, average the resulting values, and find the spread…
The discussion compares ways to define bond carry, especially the proposed measure of yield minus repo financing. One answer distinguishes cash income after financing—coupon less repo—from a broader return measure that can include pull to par and yield curve…
The document explains why a curve is not defined by the fixed or floating legs of a swap. A curve instead supplies discount factors or forecast rates, and those functions must be distinguished when valuing a cross-currency swap. For a fixed-fixed USD-INR…
The document explains the two components of a bond’s carry and roll-down over a holding period. Carry is the net income earned, such as coupon income after financing costs, and can be related to the difference between forward and spot yield. Roll-down is the…
The document distinguishes market value at risk from credit value at risk. Market VaR estimates a portfolio loss threshold over a chosen horizon and confidence level using market risk factors such as rates, foreign exchange, spreads, and equity prices.…