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.
4,574 documents
The document asks whether the Sharpe ratio denominator should account for a time-varying risk-free rate, including its volatility and correlation with portfolio returns. The answer frames the ratio as return per unit of risk for a zero-cost position. Under…
The note explains why an FX swap can retain a small exposure to the future spot rate even when its near and far legs exchange the same domestic notional. The key is that the notional returned at maturity does not include the interest that would have accrued…
The document explains how an Ornstein–Uhlenbeck process models reversion toward a long-run level and identifies the inverse reversion speed as its characteristic timescale. It notes that first-passage-time formulas can estimate how long a process takes to…
The document addresses whether different fixed rates in a fixed-for-fixed currency swap create a free return for one counterparty. Its explanation emphasizes that each party pays interest on a principal denominated in its currency and returns that principal…
The document asks how to estimate the dollar impact of a change in cross-currency basis for a portfolio of swaps hedging loans or bonds. The answer offers a rough approximation: use the book’s weighted average tenor, with each trade weighted by the notional…
The document asks how to obtain accurate intraday foreign-exchange data for analysis in R. One response points to an R package as a way to access FX data directly, potentially avoiding a separate Java download and CSV import workflow. Another response…
The document describes building a six-month sterling Libor yield curve in QuantLib from a deposit quote and swap rates, then asks how to incorporate forward rate agreements. It shows the existing curve-building setup and its resulting spot-rate table,…
The document surveys several free or low-cost sources mentioned for historical market data. Its main example is an undocumented onvista interface for retrieving stock tick data by security identifier, exchange, and trading day. The author describes how a…
The document collects suggestions for software and services that can be used to backtest investment strategies. The examples span a mobile portfolio tool, a Python framework, a form based service, standalone engines, and a brokerage platform with strategy…
The document examines whether the reciprocal of an exchange rate following geometric Brownian motion is itself a Brownian motion. It applies Itô’s lemma to the function that takes a rate to its reciprocal, accounting for both the first derivative term and…
The document addresses where to obtain historical consensus forecasts for the US Nonfarm Payrolls release. The answer points to an economic calendar that provides consensus estimates alongside actual Non-Farm Employment Change results, with a history…
The document explains how day count conventions apply when pricing cross-currency forwards and swaps. Its central method is to calculate the accrual factor for each currency leg using that currency’s convention, then form the forward price as the domestic…
The document explains that an option’s trading currency and venue do not necessarily match those of its underlying. It introduces quanto options, whose payoff is denominated in a different currency, and contrasts them with compo structures that retain…
The document raises practical questions for researching and backtesting crypto or forex strategies when exchange pairs use different quote currencies. It asks how to value holdings in a common currency, such as USD, whether to use a direct market or a chain…
The document asks whether the relationship between crude oil price changes and Colombian exchange rate changes differs across time periods. Its proposed approach is to add a period indicator and interact it with the oil variable in a regression, which would…
The document asks whether a trading application must establish a FIX quote session and subscribe to market data before sending a new order over an order session. The answers distinguish protocol rules from a particular broker’s workflow: FIX itself does not…
The document explains how to think about a rolling foreign exchange carry trade and why an implied yield is not itself the trade’s return. The forward rate embeds the interest differential under covered interest parity, which links spot, forward, and…
The document asks how to evaluate exponential moving averages as a forex trading strategy and requests research on their effectiveness. The response offers two starting references on technical analysis in foreign exchange: a 1992 study of technical analysis…
The question asks whether to use close-to-close percentage changes or logarithmic price differences for minute-level EUR/USD data, and whether the choice matters more when combining multiple currency pairs. The reply draws on a standard distinction:…
The document compares hedging a future foreign-currency receipt with a forward contract against creating a similar exposure through dollar borrowing, spot conversion, and euro investment. Under covered interest parity, it gives the forward-rate relationship…
The note clarifies how to interpret the euro short-term rate (€STR) when estimating interest on a single overnight loan. The quoted rate is expressed as an annual rate using an Actual/360 day-count convention. Under that convention, the overnight interest…
The note describes several ways a central bank can acquire foreign currency and how reserve holdings can be used. In a market-based system, the bank may sell domestic currency to buy dollars or other reserve assets when demand for the local currency is…
The document explains an apparent asymmetry in simulated currency prices generated from a GARCH model. The model is fitted to log returns, which may have a symmetric innovation distribution, but the simulation is transformed back into price levels by…
The document considers how a bank might price a ten-year EUR/DEV cross-currency basis swap when there is no established swap market in DEV and the proposed hedge is to roll daily borrowing and deposits at the two risk-free rates. Its central point is that…