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.
4,574 documents
The question compares expected EUR/USD and USD/EUR exchange rates under a two-outcome scenario. It assigns equal probability to EUR/USD ending at 1.25 or 0.8, then observes that each outcome's reciprocal is the corresponding USD/EUR quote. The apparent…
The document addresses whether currency exposure in international portfolios earns compensation for its risk. Its answer characterizes foreign exchange returns as having approximately zero expected return while retaining volatility, suggesting that currency…
The document explains why a yen-based investor’s cost of hedging a dollar asset is connected to interest rates and forward exchange pricing. It describes using a cross-currency swap to exchange dollar interest payments for yen interest payments and lock in a…
The author describes an hourly forex classification pipeline using fractional differentiation, CUSUM event sampling, technical features, and XGBoost. Reported test accuracy rises substantially in some configurations, especially when labels are based on…
A beginner with programming and mathematics experience asks how to build a basic system for viewing market data and placing trades, with both simulated and live modes. The responses discuss broker access, demo and paper accounts, data costs, APIs, and…
The document asks whether a US investor who trades a euro-denominated commodity future, such as a carbon contract, takes on ongoing EURUSD exposure. It compares the question with foreign equity index futures and explains that a futures position is…
The document explains when an FX volatility smile quote for a put can be matched to a call quote with the complementary delta. Under the forward delta convention, put and call deltas at the same strike sum to one, so a 95-delta put and a 5-delta call…
The answers explain that FX outright delivery dates are convention driven and can vary with the currency pair, market, and trade details. Relevant inputs include spot settlement timing, holidays in each currency, weekends, whether USD holidays are included,…
The answer distinguishes daily returns from intraday returns when calculating historical volatility. For close-to-close volatility, it describes taking the standard deviation of daily log returns and scaling by the square root of an assumed number of trading…
The document asks whether an FX swap can be priced by subtracting spot from the theoretical FX forward rate. The proposed forward calculation uses spot and the two currencies’ interest rates, and the question frames the swap value as the forward-minus-spot…
The document considers how to calculate returns from one-minute price bars when a trading session begins after a long market closure. The first observed price of a session and the prior session’s final price produce a return spanning far more than one…
The document asks how to derive the bid for CAD/CHF from USD/CAD and USD/CHF quotes. It compares a textbook formula, which divides the USD/CHF ask by the USD/CAD bid, with an alternative based on multiplying the USD/CHF bid by the reciprocal of the USD/CAD…
The document poses a valuation problem for a software investment whose daily revenues depend on an exchange rate and whose costs depend on a commodity price. The proposed simulation models both underlying prices as geometric Brownian motions estimated from…
The document explains why interest rate parity using two money market curves and spot FX may not reproduce traded FX forward prices. A cross-currency basis captures the difference between the parity-implied result and market pricing, reflecting funding…
The document explains how to value a foreign-currency floating-rate coupon in domestic currency using either the foreign or domestic T-forward measure. Under covered interest rate parity, converting the foreign-measure value at spot is equivalent to applying…
The document asks how to estimate an implied volatility at a chosen strike and maturity when only FX forward rates, domestic and foreign zero rates, at-the-money volatility, and 25-delta risk reversal and butterfly quotes are available. It frames the task as…
The document discusses generating synthetic foreign-exchange data for algorithm testing, including return paths, OHLC bars, tick timing, and bid-ask spreads. Its main caution is that Gaussian noise around a trend is a poor representation of high-frequency FX…
The document asks whether deriving interest rate curves under a Credit Support Annex (CSA) creates convexity effects when moving between fixing dates. Its example concerns a US dollar trade collateralised in euros, and asks whether correlation between…
The document outlines a proposed search process for automated intraday strategies in FX and equity index futures. The plan uses short forecast horizons, many candidate features, genetic feature selection, and SVM models ranked by cross-validation error. The…
The question asks whether PV01, often associated with bonds, can measure sensitivity for FX forwards and non-deliverable forwards. The answer frames an FX forward’s value as depending on spot, the two interest-rate curves, and cross-currency basis. Since…
The document asks why early termination of a cross-currency swap may include a notional exchange unwind value based on spot foreign exchange, in addition to the present value of the swap legs. The response explains that the contract has cash flows and…
The document presents a pricing question for vanilla quanto options on commodity forwards. It proposes adjusting the forward by an exponential term involving the correlation between the underlying and foreign exchange rate, their volatilities, and time to…
The document examines why a coffee-linked index or ETF can perform very differently from the quoted spot coffee price. One explanation is that a futures-based commodity index return includes the effects of rolling contracts: when futures are in contango,…
The document explains a way to interpret an annual yield calculated from the difference between NDF bid and ask rates relative to spot. It connects the calculation to the familiar practice of expressing forward points as a proportion of spot, then…