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 answers how to obtain interest-rate and Treasury yield data for analysis in R. It points to the Federal Reserve Bank of St. Louis economic database, which provides many rate series and can be accessed through the quantmod package. The example…
The document explains how to price a floating interest rate payoff when its payment date differs from the end of its accrual period. It frames the price under a payment-date forward measure, then changes to the measure associated with the accrual end date.…
The document identifies Bloomberg’s EUR swap curve as the counterpart to its USD swap curve, explaining that both are built using comparable instrument sets and curve construction methods. The curves can be formed with or without OIS discounting. It points…
The document explains how to calculate accrued interest on an overnight indexed swap’s floating leg before the accrual period ends, when the final cash flow is not yet known. Accrual is based on compounding the overnight rates observed so far: each rate is…
This answer shows how to infer a constant default intensity from a CDS spread by building the contract’s expected premium and protection cash flows over time and solving for the intensity that makes their present values balance. It includes accrued premium…
This exchange clarifies a local relationship between normal and lognormal implied volatility when both models are used to represent the same option prices. The question presents a conversion factor involving the forward or spot level and moneyness, then asks…
This exchange explains a sign error in valuing a floorlet with the Bachelier normal model. The question uses the call-style payoff expression with the forward rate above the strike, producing a premium far larger than the Bloomberg value. The accepted answer…
This exchange explains why a bond trading below par can rise toward its redemption value as maturity approaches without its credit spread narrowing. The spread compares the risky bond’s yield with a risk-free reference yield of similar maturity; it is not…
The document asks how to revise the non-default outcomes in a credit rating transition row after new information changes the estimated default probability. It presents three candidate relationships between the original and revised probabilities, each…
The document asks whether portfolio concentration by region or industry can serve as a proxy for general wrong-way risk (GWWR). It defines GWWR as a relationship in which broad market factors both increase exposure and raise a counterparty’s probability of…
The document considers how to encode credit ratings as categorical features when the distance between rating notches may not be linear. It notes ordinal encoding as a common approach and mentions probit, logistic, and exponential transformations as…
The document discusses data choices for studying covered interest parity (CIP) across currencies when general collateral repo rates at term maturities are difficult to obtain. It explains that short-dated, high-quality government bonds and reverse repos can…
The document responds to a request for monthly US Treasury bond return histories extending earlier than commonly used benchmark indices. It identifies the Bloomberg US Treasury Index as having history back to 1973 and points to Ibbotson SBBI five-year and…
The document explains why pricing models need dates converted into year fractions. In Black–Scholes or Monte Carlo pricing, an option’s pricing date and expiry must be expressed as a time to maturity using a day-count convention. Swaps can use different…
The document considers how to rank live bonds using predicted default probabilities from a classifier trained with matured bond outcomes. It questions an individual-bond score that takes the logarithm of a return-to-default-probability ratio. The response…
The document discusses ways to estimate corporate probability of default from company financial statements or internal credit ratings. It mentions structural approaches such as the Merton model, accounting-based scores such as Altman’s Z and Ohlson’s O, and…
The document explains how to infer expected policy-rate changes from an overnight indexed swap curve when a market lacks meeting-date futures. The proposed approach builds a curve whose nodes fall on policy decision effective dates, with overnight forward…
The document explains how IMM dates are applied to interest-rate swap periods and related fixing dates. For swaps, periods begin and end on the third Wednesday of each quarter, adjusted to the following business day when necessary. These adjusted dates…
The discussion asks whether government bond yields or swap rates better represent future short-term interest rates when the swap–bond basis is negative. It outlines possible market pressures on each side: liability hedging and cash constraints may increase…
The discussion asks what market variable should serve as the input to a variance-covariance matrix for a portfolio of credit derivatives such as credit default swaps. The answer recommends basing risk statistics on observable market quantities. For traded…
This discussion interprets a corporate bond portfolio’s relative weights across short, medium, and long maturity buckets alongside credit-curve movements. Overweight positions in shorter and intermediate buckets, with an underweight in the long bucket, are…
The discussion addresses why IFRS 9 expected credit losses are discounted using the effective interest rate (EIR), rather than treating the calculation as a fair-value valuation discounted at a market rate. The answer distinguishes assets measured at fair…
The document explains why swaps manually priced from a QuantLib curve may fail to reproduce the market quotes used to build that curve. In the example, the discrepancies arise because the manually constructed swaps do not exactly match the swap rate helpers’…
The document addresses how to obtain bond prices for calibrating a Hull–White interest-rate model when historical yields are available but historical prices are needed. It points to public, machine-readable reporting of some EU bond quotes and trades…