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.
9,797 documents
The document examines how pull to par affects a bond's spot price and forward price when yields remain unchanged. The question relates the spot price, accrued interest, and financing to a fixed-date forward price, then asks how a long cheapest-to-deliver…
The document explains why investing cash through reverse repo cannot replace repo financing for a long bond, short futures position. In reverse repo, the investor lends cash and temporarily receives a bond as collateral; the bond is due back to the…
The document discusses where to obtain official real-time and intraday market data for venues such as US stock exchanges and CME. It distinguishes free, limited ways to explore data from the paid access typically required for raw exchange feeds. Suggestions…
The document asks why historical price records for a specific Hang Seng futures delivery month appear to continue after the contract’s settlement date, and why a contract may have records far earlier than a trader expects. The response explains that listed…
The document describes two ways to translate a government bond futures position into cash-bond exposure. A simple approach identifies the current cheapest-to-deliver bond and scales its value and risks by the inverse of that bond’s conversion factor. This…
The document explains that an option’s trading currency and venue do not necessarily match those of its underlying. It introduces quanto options, whose payoff is denominated in a different currency, and contrasts them with compo structures that retain…
A Treasury–OIS spread compares a Treasury bond yield with the fixed rate on an overnight index swap of a similar tenor. The explanation treats OIS as a proxy for repo funding costs, so the spread can help assess whether Treasuries look rich or cheap relative…
The document examines how to calculate the implied repo rate for a Treasury futures contract using its cheapest-to-deliver bond. The question applies a financing return formula to the futures invoice value and the bond purchase price, including accrued…
The discussion addresses the futures–forward price difference when interest rates and the underlying price move together. It attributes the difference to daily futures settlement: gains and losses arrive over time and can be reinvested or financed at rates…
The document asks how to translate a Matlab yield curve bootstrap into Python for multiple currencies using three-month futures. An answer proposes QuantLib, outlining a workflow that sets curve dates and market quotes, applies a time-dependent convexity…
The document explains why index volume cannot be interpreted like the volume of a single traded security. The reported turnover for an equity index aggregates each constituent’s trade prices multiplied by the shares traded, then sums those amounts. The…
The document addresses a QuantLib error raised while constructing a EUR yield curve with futures rate helpers. The reported expiry, December 19, 2016, is rejected as an invalid IMM date even though the instrument is described as a Euribor future. The…
The document explains why multiplying a futures contract size by its displayed price can produce a mistaken contract value. The key is the price unit: a soybean future may be quoted in cents per bushel rather than dollars per bushel. Contract size must be…
The discussion asks how to interpret the covariance between an underlying asset and the discount factor under the risk-neutral measure, in connection with the forward–futures spread. One answer recommends interpreting risk-neutral quantities from the…
The document asks how to build a multi-year time series for a three-month futures contract while handling contract rolls. The author is concerned that prices are volatile on roll days and asks about interpolation or using calendar spreads to create…
The document explains how to estimate a Treasury futures contract’s modified duration when its cheapest-to-deliver (CTD) bond is known. Under the simplifying assumption that futures track the CTD’s forward price perfectly, the conversion factor cancels from…
The document explains why an equity index future may appear to fall far less than its underlying index during a sharp market move. For a global index such as MSCI World, constituent markets trade in different time zones, so many index prices can remain fixed…
The note raises two implementation questions about the time-series momentum method described by Moskowitz, Ooi, and Pedersen. First, it asks how to interpret the paper’s ex-ante volatility estimate when the strategy uses a twelve-month return signal: whether…
The document explains how an index future or the underlying spot index can serve as the market return proxy when estimating stock betas. Spot returns are straightforward to calculate, and closing index values are described as reliable; opening and intraday…
Futures contracts are not generally paid for in full when opened; the settlement price supports daily mark-to-market valuation and final settlement at expiry. The document says exchanges often derive it from an average of late-day trades, reducing the impact…
The document asks why a forward contract’s value at delivery is not simply the spot price minus the contracted delivery price. It describes the holder’s apparent ability to buy at the agreed price and immediately sell at the market price, then questions a…
The document describes a continuous futures series built by adding a cumulative roll adjustment to settlement prices and applying the contract multiplier. With this additive adjustment, the resulting notional can become negative even when the underlying…
The document compares holding a bond ETF with maintaining a long bond futures position, focusing on financing, collateral, benchmark fit, tracking, and operational demands. An ETF provides exposure to an actual managed bond portfolio, with management fees…
The document asks what “NPV of the deliverable swap” means in the quoted price of a MAC swap future. It contrasts the discounted-cash-flow meaning of net present value with an expectation of future cash flows, using a stock futures price as an analogy. The…