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 a forward rate over a future period from the fixed rate on a swap that begins in the future and spans the same tenor. The forward rate is derived from discount factors at the period’s endpoints, while a forward starting swap rate…
The document explains the sign convention in the duration approximation for estimating a bond’s price response to a yield change. Under the stated relation, the approximate price change is the negative of bond value times duration times the yield change. A…
The document explains why a credit default swap’s mark-to-market value depends on risky annuity, also called risky PV01. A change in the CDS spread is quoted in basis points per year, so the spread difference alone does not express the position’s value in…
The document asks how to adapt a payment-delay convexity adjustment used for Libor to daily compounded risk-free rates, with SOFR as the example. It describes a normal-model expression involving a discount factor between the accrual end and payment dates,…
The document raises numerical questions about solving the Cox–Ingersoll–Ross short-rate model’s bond-pricing PDE with an implicit finite-difference scheme. It asks how to set a boundary at a large maximum rate, whether the grid point at zero requires a…
The document compares two ways to infer the one-year conditional default probability of a zero-coupon bond priced below face value, assuming no recovery and a stated risk-free rate. One approach converts the bond’s return into a spread, treats the spread as…
The document explains futures-style settlement for options on futures and contrasts it with the stock-style premium payment described for US options. Under futures-style settlement, opening the position requires no initial cash premium transfer. Instead,…
The document distinguishes forward rates read from a yield curve from rates generated by a short-rate model. At the current date, a yield curve is a fixed term structure from which one can calculate future rates for chosen short tenors. Those curve-implied…
The document asks for open-source C# tools to calculate fixed-income measures such as yield to maturity and duration. An answer recommends QuantLib.NET, noting its use for bond pricing in back-office work and a soft real-time trading system. This is a brief…
The document asks whether the Black model’s N(d2) represents the risk-neutral probability that a vanilla caplet finishes in the money, and what probability applies to a floorlet. The response interprets the question as one about the probability of a digital…
This document raises a fixed-income cash-flow reconciliation question using a quarterly USD LIBOR floating-rate bond. The example sets a continuously compounded flat zero curve at five percent, uses Actual/360 for coupon accrual, and compares the expected…
The document explains why the coupon rate on a bond issued at par matches the fixed rate on a par swap with the same payment schedule and maturity. In the example, a two-year bond pays semiannual coupons, and the question compares its par coupon with the…
The document asks whether paying off a fixed-rate loan before its scheduled end changes its internal rate of return. The brief answer says the IRR remains the same and that only the loan's life changes. This conclusion depends on the prepayment amount and…
The exchange considers why UK government bond yields fell after Brexit-related uncertainty and a credit rating downgrade, despite the expectation that greater perceived risk should increase yields. It also mentions falling Finnish yields after a downgrade…
This exchange explains why calculating a CPI bond yield in QuantLib can fail with an empty-handle error, even when the bond has a base CPI, coupon, price, and current reference CPI. The key issue is that the inflation index needs a forecast curve to…
The document raises the difference between a Eurodollar futures implied three-month rate and a forward rate inferred from the yield curve. It identifies convexity adjustment as a possible explanation and asks how to calculate its size without relying on…
The question concerns pricing a US three-month Libor cap under euro collateral, where the discounting and forward curves reflect the collateral agreement. It asks whether the volatility quoted for a US-collateralized cap can be reused, given that the pricing…
The document asks whether a bond’s required return is simply the base interest rate or also reflects issuer creditworthiness. It distinguishes the yield used to discount a bond’s coupon and principal payments from the idea of a benchmark rate, then presents…
The document distinguishes cash-settled bond futures, whose value is linked to a calculated yield-based price, from physically delivered contracts, where conversion factors and the cheapest-to-deliver bond can shape futures pricing. The question concerns…
The document addresses the time horizon used when valuing an asset from expected returns. Its answer describes discounting expected cash flows over the asset’s lifetime. For a company assumed to continue operating indefinitely, valuation commonly includes…
The document explains a mismatch between a USD LIBOR fixing date and a date calculated by advancing backward two days on a US calendar. For a value date at the end of August 2022, a QuantLib USD LIBOR index returned a fixing date three calendar business days…
The document describes a simulation question for a collection of forward rates whose dynamics are driven by Brownian motions with instantaneous correlations. Each rate follows a proportional diffusion, and the correlation structure varies over time. The…
The document explains how to derive the force of interest, defined as the proportional rate of change in an accumulation function. For simple interest at annual rate i, the accumulation function is linear in time, so its logarithmic derivative varies with…
The document addresses which zero rates to use when bootstrapping a default probability curve from credit default swap spreads. The response recommends discounting with the curve relevant to collateral remuneration, typically the applicable overnight indexed…