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 considers whether stationary electricity futures prices can be simulated directly from a fitted distribution to estimate value at risk, or whether a multi-step simulation is needed. It distinguishes a one-horizon risk estimate from a…
A one-year-forward 2-year versus 5-year Treasury steepener can be built from bonds with settlement in one year or expressed through forward-starting interest rate swaps. For bonds, the examples construct forward exposures by combining securities that mature…
The note explains why futures markets can offer close substitutes: different exchanges may list contracts linked to similar underlying exposures. It cites oil futures as an example of contracts tied to oil prices. Such alternatives can create potential…
The document concerns the wild card option embedded in Treasury futures and asks how to interpret an equation for the expected payoff from exercising early after a significant price move versus waiting to earn another day of gross. The responses point toward…
The document asks how Cox, Ingersoll, and Ross move from a discrete sum involving changes in forward prices and bond discount factors to a continuous-time integral involving local covariance. The author rewrites the summand in terms of relative changes and…
The document explains the meaning of an exchange rule that routes a short seller’s delivery notice to the holder of the oldest outstanding long position. Futures positions change hands frequently, so the long who originally traded with a particular short may…
The document explains why a Treasury futures duration estimate based on the cheapest-to-deliver bond is divided by that bond’s conversion factor. First, estimate the CTD bond’s duration in forward space using the futures delivery date as settlement and the…
The document examines why discount factors inferred from six- and twelve-month USD LIBOR do not reproduce a one-year swap rate in a simple semiannual swap equation. The discrepancy is explained as a tenor basis: a term LIBOR deposit and a swap referencing…
The document explains how SOFR futures prices are tied to realized overnight rates during their reference period. For one-month contracts, the settlement rate is the arithmetic average of observed SOFR rates; for three-month contracts, it is based on daily…
The document explains why stock index futures are not generally read as forecasts of how much an equity index will rise, even though interest rate futures are often used to infer rate expectations. Index futures can be used to derive a forward curve and…
The note examines why a Treasury futures position sized to match a swap’s DV01 can imply a different principal exposure from a cash bond hedge. It calculates futures DV01 by dividing the cheapest-to-deliver bond’s DV01 by the conversion factor, then uses…
The document describes two ways to explain daily profit and loss by fully repricing a portfolio as market inputs move from prior-day to current-day values. In the cumulative, or waterfall, method, inputs are changed sequentially and each price change is…
The document explains how principal component analysis (PCA) can reduce the number of risk drivers used to model a commodity forward curve. At each historical observation date, the data matrix has one row per delivery bucket and one column per date; its…
The document explains why an exchange might introduce an oil futures marker tied to a particular region and time of day. Such a marker can provide an independent reference price that better matches local trading hours; the example notes that the standard…
The document asks how a news report inferred a hot-rolled coil steel price of about $650 per ton from U.S. Steel’s forward enterprise value-to-EBITDA multiple of 4.4. It contrasts that implied price with steel futures near $825 per ton at the time, in the…
The document explains how oil producers can earn higher profits during supply disruptions even when demand softens. When a supplier exits, the available supply curve shifts left. If demand remains near its previous level in the short run, the market price…
The note clarifies how the daily correction factor for Brazilian DI futures is applied to settlement prices. It addresses whether the factor uses the prior day’s DI rate or the current day’s rate, and how public holidays affect the calculation. The answer…
The document asks why an expiring Eurodollar futures contract is quoted and settled as 100 minus LIBOR rather than as the discounted present value of a three-month deposit. The reply frames settlement through convergence and market indifference: at expiry,…
The document gives the usual daily settlement procedure and publication timing for Eurex bond futures, including Bund and Buxl contracts. On ordinary trading days, the settlement is based on the volume-weighted average of transactions during the final minute…
The discussion considers how to turn sparse USD LIBOR forward or projection rates into a curve for forecasting floating coupons in an interest rate swap, with a separate curve used for discounting. It cautions that a set of rates at selected maturities does…
The document considers how to build continuous futures price histories for a multi-market backtest. The questioner describes using backward Panama adjustment, rolling when open interest switches, and selecting the first listed contract across a diverse set…
The discussion surveys alternatives to Bloomberg for traders and quantitative funds that need both historical prices and instrument reference data, such as futures multipliers, contract identifiers, and ETF costs. Suggested providers include Eikon, TickData,…
The document explains intuitive bounds on VIX futures using forward-starting volatility and variance swaps. A volatility swap reflects expected future volatility, while a variance swap reflects expected squared volatility. Because the square-root function is…
The document asks how to summarize long and short positions across commodity delivery months as a single prompt-month-equivalent exposure. Netting contract notionals can hide risk because nearby maturities may react more strongly to price changes than…