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 distinguish balance terms used for mortgage-backed securities, including original, current, deal, collateral, and unpaid balances. It frames deal balance as principal remaining on the deal, original balance as principal at inception,…
The document explains why the accrual factor associated with a forward Libor rate is a martingale under the forward measure whose numeraire is the bond maturing at the end of the accrual period. The factor is expressed as the ratio of the bond price maturing…
The document explains a sharp historical move in the French franc’s exchange value against the US dollar. It identifies the cause as France’s devaluation of the franc, decided by President Pompidou and Finance Minister Giscard d’Estaing, with the adjustment…
The discussion outlines mortgage valuation as a problem of projecting cash flows under changing interest rates, borrower behavior, and discounting. A proposed simulation approach generates possible rate paths, calculates amortizing payments, and discounts…
The answer explains how a weekend-adjusted payment date usually affects the timing of a bond coupon without changing its amount. For a regular semiannual period, the coupon is generally based on the scheduled coupon period and remains the regular half-year…
The discussion considers pricing mark-to-market (MtM) basis cross-currency swaps and using their market quotes to derive collateralized discount curves when constant-notional swap data is unavailable. It references a multi-curve framework and an analytical…
The document works through the affine bond-price form for the Ho-Lee short-rate model, where the short rate has a time-dependent drift and constant volatility. Substituting the model’s coefficients into the ordinary differential equations for A and B gives a…
The document explains why a 10-year receiver and 20-year payer swap with equal and opposite DV01s may not offset under a parallel rate move. Equal DV01s cancel the positions’ first-order sensitivity at the starting curve, but they do not ensure equal…
The document addresses which date to enter when calculating a Treasury bond’s yield from its clean price, and whether auction prices use the same approach. The answer recommends using the settlement date rather than the trade date or the most recent coupon…
The document describes how to align a QuantLib fixed-rate bond valuation with a Bloomberg clean price. The example concerns a Polish government bond valued on a specified date at a given yield. The initial QuantLib calculation differs from Bloomberg by a…
The document clarifies naming and interpretation of Actual/Actual day count conventions used in bond and interest rate calculations. It outlines the questioner’s uncertainty about whether the ICMA and Bond definitions differ, particularly around leap days…
The document presents a currency and bond arbitrage exercise involving a sterling bond, a dollar loan, spot conversion, and a forward sale of sterling. The question asks why the loan repayment is written as 1.68 times the borrowed dollar amount when the…
The document explains how to obtain a forward discount factor and forward reference rate from discount factors observed from today to two future dates. For dates t1 and t2, it uses the multiplicative relationship between discount factors: the factor from t1…
The document studies the stochastic behavior of marginal default density when default intensity follows a lognormal diffusion. It writes default density as intensity multiplied by survival probability, then applies Itô’s product rule to derive a stochastic…
The document distinguishes zero rates, used to derive discount factors for valuing cash flows today, from forward rates, which are implied by zero rates and no-arbitrage relationships to describe rates over future periods. It frames curve selection as…
The discussion explains how negative risk free rates affect equity and index option valuation. It says the Black Scholes framework can accommodate negative rates, and an answer suggests setting very small negative CHF rates to zero as a practical…
In investment banking, a curve is a set of values indexed by date, such as discount factors across maturities. A practical curve stores values at selected dates and uses interpolation to estimate values between them, since a value for every possible date is…
The document compares principal component analysis applied to yield curve levels with PCA applied to daily rate changes. The researcher reports that both input choices produce component shapes resembling a parallel level shift, a slope change, and a…
The document discusses the practical standing of the Linear Gauss–Markov model for interest rates and its relationship to other short-rate frameworks. It reports that one reference treats LGM under the name “Hagan and Woodward Parameterization,” and that two…
The note explains why an implied default probability can rise when the assumed recovery rate increases, even if the observed risky-bond price stays fixed. Under a simple one-period setup, the bond's price is the probability-weighted value of its payment…
The note describes two uses of algorithms by bond market makers. A system can maintain required bid and ask quotes across bonds that a desk may not actively want to trade, adjusting them as the best market quotes move. It can also generate indicative prices…
The note distinguishes broad bond performance measures from the word “indicative” as used on a trading floor. Price, yield, spread measures such as Z-spread and option-adjusted spread, and horizon return are listed as price or return metrics. Such measures…
The note explains why posting bonds as collateral is treated differently from posting cash when considering price adjustment interest (PAI). A party receiving bonds can generally use them in a repurchase agreement to borrow cash, and the repo rate is the…
The document asks why a bond pricing system switches discount factors during the final year before maturity. It contrasts annual compounding, using a factor based on yield raised over the time to payment, with simple-interest discounting, using yield…