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 asks whether the beta coefficients in an exponential-spline discount-function model remain stable from day to day. The motivation is practical: if the coefficients move predictably with benchmark bond prices, a researcher might use the model’s…
The document explains that an issuer-level credit rating does not necessarily determine the rating of every individual bond. Even bonds from the same obligor that share a seniority category can receive different issue ratings, because features in each bond’s…
The discussion concerns software choices for building fixed-income portfolio risk analytics when QuantLib and its Java interface are unavailable. The questioner reports problems with JQuantLib, including a bond-yield calculation error, and asks for pure Java…
The question asks how to derive the covariance between values of a mean reverting Vasicek process at two times. The answer first expresses the process as the solution to its stochastic differential equation: its initial level and long run mean terms are…
Treasury credit risk is the assessment of the creditworthiness of banks and other counterparties that a bank engages through its treasury function. The treasury office oversees liquidity and capital, and may lend surplus funds to other banks or raise funding…
The document outlines a filtered historical simulation approach to market risk for vanilla swap portfolios. Historical observations should be represented as changes in selected curve risk factors, such as discounting and forwarding zero rates at chosen…
The document explains how to calculate the time-zero delivery price of a bond forward in a discrete-time, risk-neutral fixed-income model. Its pricing relation takes the expected discounted value of the underlying bond at the forward date and divides it by…
Historical default rates are probabilities under the real-world measure, but they cannot be converted directly into risk-neutral probabilities using Girsanov’s theorem alone. A model for the underlying process and its dynamics under the real-world measure…
The exchange considers how to estimate a CDS spread between quoted maturities, such as a spread for an intermediate tenor between shorter and longer quotes. It asks whether hazard rates calibrated to quoted CDS contracts can support a direct spread…
The post asks how to convert a US Treasury bond yield into a price by discounting the remaining coupon and principal cash flows. The author reports a calculated value that differs from a quoted market price and tests alternative day-count and compounding…
The document raises a fixed-income valuation question: whether CDS spreads quoted in different currencies can be subtracted to adjust a bond’s credit margin for a change in issuer country. The example compares five-year U.S. and Polish CDS quotes, then adds…
The document explains how the standard maturity for a five-year single-name credit default swap is determined under the post-2015 convention. Although a simple five-year anniversary calculation might suggest a September maturity for a trade made in early…
The document explains why a zero curve built from continuous-rate data can fail when its dates are mapped to times using an Actual/Actual day-count convention. Curve interpolation requires distinct times, but the convention may assign the same year fraction…
The document explains how to derive a real interest rate from a money market rate and consumer price inflation, in the context of a study modeling the probability of stock market crises. The question arises because a cited paper describes its control…
Rehypothecation occurs when a bank or broker reuses collateral pledged by a client to support its own borrowing or trading. The explanation describes how this practice can create a chain of claims: successive reuse makes the total collateral supporting the…
The document explains why calling the amount or rate method on a QuantLib IborCoupon can fail with a “pricer not set” error, even when the relevant Euribor fixing has already been supplied. In the implementation described, coupon rate calculation delegates…
The document illustrates a convexity adjustment by comparing two ways to price cash flows when an interest rate can take one of two values. One calculation discounts the amount using the average of the rates, while the other averages the two prices obtained…
The document asks whether Federal Reserve quantitative easing should increase U.S. home sales and prices, noting an apparent decline in housing prices after 2009. Its answer first corrects a key distinction: encouraging home purchases means more demand,…
The discussion explains how to use daily observations of Switzerland’s 10-year government bond yield when calculating a portfolio Sharpe ratio. To represent the rate for a calendar year, average the yield observations from that year; the answer treats the…
The document describes a QuantLib issue involving Actual/Actual ISMA day counts for bond periods. The questioner calculates year fractions from a valuation date to an intermediate coupon date and to maturity, then reports that moving the valuation date by…
The document asks how to construct historical break-even inflation curves in Brazil, where two inflation-linked government bond series reference different price indices: NTN-C is tied to IGP-M and NTN-B to IPCA. The response recalls that Deutsche Bank used…
The document explains how to fit a Svensson yield curve using prices or quoted yields for coupon-paying bonds, even though the model directly describes zero-coupon rates. The fitted zero rates imply discount factors at each cash-flow date. Applying those…
The document explains why buying a bond and shorting a futures contract can be viewed as a synthetic reverse repo. In a reverse repo, an asset is sold with an agreement to repurchase it later; the price difference represents financing interest, while the…
The document derives the density ratio between two forward measures by applying the change-of-numéraire principle. A numéraire is a strictly positive price process used as the unit for valuing other assets; changing the numéraire changes the associated…