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 distinguishes current coupon spread duration from option-adjusted spread (OAS) duration for mortgage-backed securities. Current coupon spread is the excess yield on the current coupon mortgage over a reference yield curve. Its duration is…
The document explains how currency hedging can affect the risk and return of foreign investments. Long-run studies cited in the discussion suggest hedging may leave returns similar while reducing volatility, which can benefit mean-variance investors. Over…
A calendar spread between two bond futures can carry repo exposure even when both contracts have the same cheapest-to-deliver bond. The key mechanism is that contracts with different delivery dates respond differently to financing rates: the later contract…
The document explains why Treasury yields shown by financial media may differ from yields published by the US Treasury. It identifies differences in observation timing and in the instruments or methodology used. The Treasury figure is described as using bid…
The document discusses sources for a fitted one-year real yield series for Treasury Inflation-Protected Securities (TIPS), sampled monthly, and notes that similar data may be available through bank research portals. Its main focus is a caveat: quoted real…
This note describes a reported mismatch between a covariance matrix that appears positive definite under Cholesky decomposition and negative eigenvalues returned by a symmetric eigensolver. The matrix is built from historical forward-rate data imported…
The document addresses how traders can identify economic announcements that move different markets, with a particular question about agricultural commodities. It cites a study examining the immediate responses of commodity prices and short-term Treasury bill…
The document addresses whether a futures position used to reduce a bond portfolio’s duration should be included when estimating portfolio yield to maturity. The response says to include it by using the future’s implied yield to maturity and assigning that…
The discussion explains a first-order way to think about a bond’s return over a holding period: combine its yield with the price effect of changes in yield, scaled by the bond’s DV01. Roll-down return is a special case of that price effect, calculated under…
The document addresses an apparent mismatch between simulated discount factors in a Hull–White one-factor Monte Carlo model and the market discount curve at the initial time. Its central point is that the model’s no-arbitrage setup is intended to reproduce…
The question concerns how to infer an equity’s local volatility when its drift is the short rate and that rate is stochastic. The author proposes adjusting market implied volatility on a forward for short-rate volatility, then asks whether cumulative…
The document explains GSR as the Gaussian Short Rate model and gives its risk-neutral short-rate dynamics in mean-reverting form, with time-varying reversion, level, and volatility. It places GSR within the broader family of affine short-rate models, whose…
The document investigates why changing a Euribor index tenor appears not to alter zero rates built from swap quotes in a QuantLib example. The explanation focuses on single-curve construction: the same curve is used both to estimate floating-leg forwards and…
The note clarifies how the continuously compounded yield of a zero-coupon bond relates to its log price. For a bond paying one unit at maturity after n periods, its price is the exponential of minus yield times maturity. Taking logarithms gives log price…
The discussion explains how overnight index swaps and Libor–OIS basis swaps relate to interest-rate curve construction. An OIS floating coupon compounds daily overnight fixings over the accrual period and annualizes the resulting compounded return. A basis…
The discussion examines the value of a total return swap that either party may terminate during a performance period. It contrasts a discounted mark-to-market valuation for a non-cancellable swap with an accrual-style cancellation payoff. One answer argues…
The document describes a simple DV01 hedge for a five-year Treasury bond using a strip of three-month Eurodollar futures. First calculate the bond’s price sensitivity to a one-basis-point yield change. Then sum the DV01 of one contract at each maturity in…
The document discusses how accounting knowledge can matter across different quantitative finance roles. Its answers distinguish work focused on short-horizon research or derivatives pricing from roles involving fundamental equity selection, credit and…
The document describes a proposed zero-investment stock portfolio in which each asset's weight depends on observable state variables, such as factors related to stock performance. This is the parametric portfolio policy approach associated with Brandt and…
The document asks whether a position in three-month sterling LIBOR futures should be hedged with GBP/USD futures by matching the contracts’ full notionals. The reply challenges that approach by distinguishing a contract’s notional amount from the actual…
The document asks how to model convexity adjustments for a payoff on the spread between two constant maturity swap rates when the rates are dependent. It notes that some approaches model each rate through an annuity mapping function and then use a copula to…
The document poses a fixed-income question: how to lock in a one-year rate that begins three years from now using zero-coupon bonds with maturities from one to four years. It supplies annually compounded spot rates for each maturity and asks which bonds to…
The document shows how to calculate a final balance when each day has a different rate and interest compounds discretely. Starting from an initial principal, multiply the balance successively by one plus each day’s rate. The same calculation can be expressed…
The document explains why near-zero short-term rates are usually a reason to begin quantitative easing, rather than a reason QE stops working. In the account presented, rate cuts first make cash funding cheaper and holding cash less attractive. Once short…