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 how to compute the expectation of a LIBOR rate over an accrual period under a later forward measure. The answer says the calculation requires a model for rate dynamics between the accrual end date and the forward-measure date; without…
The document asks why a market-convention one-year interest rate swap can involve a final payment date slightly beyond one year from the trade date. The example uses a two-day spot lag and quarterly floating accruals; adjusted dates put the final cash flow…
The note considers which economic variables may move before changes in government yield curves. It argues that, in developed markets with credible monetary control, rising inflation tends to precede yield-curve flattening, while increases in overnight rates…
The note outlines a way to identify historical Treasury benchmark securities without relying on a proprietary terminal. Start with records of Treasury auctions, then assign each issue a rounded original term by measuring the time from issuance to maturity in…
The note explains why buying a TBA dollar roll should not be treated as simply shorting mortgage-backed securities. A roll combines two linked trades: buying or selling the front-month TBA and taking the opposite position in a later month. The example…
The document explains how to estimate the yield of a floating-rate note issued above par. Its example describes a multi-year note paying LIBOR plus a fixed spread and asks how the investor’s yield compares with that coupon margin. The proposed approach uses…
The document asks how to bootstrap a zero curve from swap quotes when valuation occurs between floating-leg reset dates. It explains why the usual par-at-reset assumption does not directly apply: the floating leg may not be worth par, and the swap may have…
The document asks why a Treasury futures hedge ratio based on portfolio and cheapest-to-deliver bond basis-point values is scaled by the futures conversion factor. The question contrasts a face-value comparison—where contracts appear to deliver a fixed…
The document asks why a UK bulk annuity provider might adjust bond and swap hedges regularly when another insurer manages similar exposures with mostly static positions. It describes a hedging process that monitors sensitivity measures such as PV01 and IE01…
The discussion examines how to estimate a cryptocurrency yield curve when perpetual futures are the only obvious derivatives market. One answer emphasizes that a curve describes rates across maturities at a point in time; forecasting future funding rates is…
The answer explains why two Bloomberg tickers for the US five-year-forward, five-year inflation expectation can differ. One is derived from zero-coupon inflation swap quotes: it approximates the forward rate by doubling the ten-year swap quote and…
The document compares two yield curve construction approaches: interpolating quoted spot rates and deriving discount factors, or interpolating discount factors directly. It asks why the latter may produce a smoother implied forward curve when using linear…
The document clarifies the relationship between a bond position, duration, and convexity. It distinguishes a long position in a conventional coupon bond, which has positive duration and convexity, from a short position, which has negative convexity exposure.…
The document surveys practical ways pension plans can set investment risk appetite within an asset-liability management framework. It presents examples from public pension investors: risk limits can include relative performance measures against a reference…
The document explains how principal component analysis (PCA) is used to summarize yield curve movements. In the example, the first three components account for 58%, 85%, and 93% of cumulative variance, and their coefficient patterns are commonly interpreted…
The document explains a QuantLib credit default swap calibration failure that occurs with a higher assumed recovery rate for the supplied market spreads. The calibration seeks risk neutral survival probabilities by solving for curve parameters. If the inputs…
This exchange clarifies how QuantLib curve constructors interpret rate inputs in a Hull–White short rate simulation setup. A FlatForward curve is built from a single forward rate quote, so passing an array of rates to its scalar quote object causes a type…
The document explains term premium as compensation for the duration risk of holding longer maturity bonds, and places it within a yield decomposition that also includes expected short rates and convexity effects. With expected short rates held flat, a…
This document introduces notation used to describe a jointly normally distributed vector of financial variables. It presents a multivariate normal density built from a mean vector and a variance–covariance matrix, then asks how to interpret the density and…
This discussion explains how changes in Treasury issuance and bank reserve preferences can affect short-term funding markets. It connects a liquidity squeeze in the first half of 2018 to heavy Treasury bill issuance as the Treasury rebuilt cash balances…
The document explains that a quoted government bond yield, such as a ten-year yield of two percent, is generally an annualized yield to maturity rather than a single return earned only at the end of the holding period. Under the yield-to-maturity…
The document translates a forecast of a steeper yield curve into relative bond-price expectations: long-term bond prices are expected to weaken relative to short-term bond prices. A portfolio can express this view by reducing duration, such as selling…
The document asks how the transition from EONIA to the euro short-term rate (€STR, called ESTER in the text) could affect discounting for new and existing derivatives, curve construction, and the treatment of any basis between the rates. The question is…
The document explains dollar rolls from the perspective of the buyer, who purchases TBA mortgage-backed securities for a nearer month and sells them for a later month. Because delivery follows SIFMA guidelines and allows variation in pool characteristics…