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 explains credit exposure in a collateralized repo from the perspective of a bank that borrows cash from a hedge fund and posts bonds. The lender’s exposure is the cash advanced minus the market value of the collateral. If the posted bonds rise…
The document gives a simplified account of how yield curve control may affect borrowing costs. A central bank can buy government bonds to hold their prices up and their yields down. Because government yields help anchor the rates used to price private…
The document questions a research paper’s assumption that adverse selection tied to cheapest-to-deliver mortgage-backed securities affects the seller of a dollar roll more than the buyer. The paper’s stated rationale is that the buyer chooses the delivered…
The discussion asks whether Bloomberg’s standard data functions can retrieve trading volume for individual corporate bonds. It points to TRACE, the reporting system for many bond transactions, and describes Bloomberg’s trade-history view as a way to inspect…
The document asks how a weaker dollar could keep borrowing costs low, given that U.S. firms generally borrow in dollars. The included answer links depreciation to higher dollar revenues for exporters earning foreign currency, then argues that stronger…
The document addresses the difficulty of locating transaction-level interbank lending data, where records identify the lending and borrowing banks, amounts, and rates. The questioner had found interest-rate series but wanted disaggregated lending…
The document asks how to value the bond-return leg of a total return swap and how that valuation differs from a bond forward. It focuses on coupon treatment: the TRS receiver gets the bond’s return, including coupons, while the forward buyer does not receive…
The document offers a qualitative explanation for why the Australian dollar three-month cross-currency basis may be positive while euro and yen basis measures are often negative. It connects the sign of the basis to banks’ currency-denominated assets and…
The document asks how to derive the product of two forward rates with different reset times when each follows a lognormal diffusion. The rates are driven by correlated Brownian motions, and the displayed expression includes both stochastic terms and variance…
The document works through a two-period binomial example in which a company’s value can rise or fall, shareholders own a stated fraction, and debt holders own the remainder. It first derives the risk-neutral probability of an up move from the up and down…
The document compares two ways to discount semiannual bond coupons: applying an annual rate over fractional-year periods, or converting the quoted annual rate to a semiannual rate and compounding for the number of half-year periods. These produce different…
The document describes an attempt to infer credit default swap spreads from end-of-day prices using QuantLib. The workflow builds currency-specific interest rate curves from swap data, derives a flat hazard rate from each quoted price and tenor, creates a…
The document surveys sources for identifying derivatives by ISIN and explains why coverage is uneven. In the European Union, ESMA's FIRDS database provides a large, downloadable collection of instruments reported under applicable rules, including…
The document interprets fields in New York Fed spreadsheets describing Treasury and agency security purchase auctions. In the multiple-price auction, primary dealers submit offers at different prices and the Fed selects orders, so accepted par amounts can be…
The document asks whether a standard parametric model exists for mortgage-backed securities coupon stacks, analogous to familiar term-structure curve models. The response reports no established model of that kind for the TBA coupon stack, and describes a…
The document describes how a US-based investor could hedge the currency exposure of a euro-denominated bond while also holding a dollar bond. Its example matches the foreign bond’s coupon dates and principal repayment with euro payments surrendered under a…
The document poses a valuation question for a cash flow paid at a future date and resetting earlier. The expression combines a floating rate and a discount bond price in one currency with a discount bond price denominated in another, under a forward measure…
The document explains why standard mathematical finance models generally treat stock prices as nominal amounts. Derivative contracts such as fixed-strike options are specified in nominal currency, so modeling a stock in inflation-adjusted terms would require…
The document considers how to estimate a bond’s price sensitivity to changes in credit risk and whether duration and convexity are sufficient. It suggests using a credit default swap, when one is available on the bond, as a market indicator of credit risk…
The document addresses how to describe coupon and amortization income relative to the amount originally paid for a bond, while distinguishing that measure from the bond’s current market value. It proposes realized holding period return for cash flows…
The document compares two annualized yield measures for a short maturity zero-coupon security. Bond equivalent yield scales the return relative to the purchase price by the fraction of a year represented by the days to maturity, reflecting simple interest.…
The document asks how to infer negative-moneyness implied volatilities for interest-rate swaptions when broker data provide at-the-money volatility and payer and receiver spreads only at positive offsets from the at-the-money forward. It considers lognormal,…
The document considers how to estimate a commercial bank’s core deposits from ten years of monthly account balances. Its starting proposal is to take each account’s minimum balance in each month and sum those minima across accounts. The response says this…
The document explains a limit used in a Vasicek portfolio loss distribution: a binomial cumulative probability with a threshold proportional to the number of exposures converges to an indicator at the binomial success probability. The sum is recognized as…