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 discusses where to obtain historical Eurex Level 2 order book data, with a focus on whether a buyer can select individual instruments instead of purchasing broader exchange coverage. The question describes Eurex’s own data offering as covering…
The document explains why two quoted yields for a US Treasury bill can differ even though the bill pays no coupons. It distinguishes the discount yield, which annualizes the discount from face value using a day-count basis, from the Treasury-convention yield…
The document explains the distinction between loan-loss provisions and bank capital, and corrects the idea that capital is a separate pool of cash earmarked for particular assets. It describes capital as an accounting measure of the residual claim belonging…
The document asks how a UK investor can express the spread on a US dollar bank loan in sterling terms. The example is a five-year loan paying three-month USD LIBOR plus 100 basis points, with the desired result stated as three-month GBP LIBOR plus an…
The document considers how an implied equity risk premium might change as interest rates shift when expected equity returns are estimated from dividend yield, trend growth, and valuation change. It highlights the difficulty of inferring a stable relationship…
The document explains how the risk-neutral measure prices a stock when its terminal value is discounted at the short rate. Under an equivalent martingale measure, discounted asset prices are martingales, so the stock value is the conditional expectation of…
This exchange discusses a discounted cashflow model for pricing a floating rate note and estimating interest rate and credit duration. The proposed model uses today’s reference rate in every projected coupon and discounts those cashflows using a discount…
The document raises a fixed income pricing question: why a nearly expiring 10 year Treasury note futures contract appears to imply a yield different from the yield on recently auctioned notes. The author recognizes that the futures contract assumes a…
The exchange considers whether daily EURIBOR 3M fixings can be compounded into a total return index, including whether to use a quarterly rate or a daily accrual convention. The answer explains that EURIBOR is a reference fixing for the cost of term…
The document asks how to assign a portfolio’s yield change to separate bond purchases when the order of those purchases should not affect their attributed contributions. It describes a sequential approach: calculate the yield change after each purchase and…
The document asks how two representations of a one-factor Cheyette interest-rate model relate. One uses state variables for the short-rate factor and an auxiliary variance-like process, while the other expresses discounted zero-coupon bond prices using the…
The document explains that “conservative” in risk management describes the direction of an estimate relative to a reference point, rather than whether the estimate is numerically small. The appropriate direction depends on the quantity being assessed: a…
This note explains an apparent exception to the usual expectation that accrued interest resets to zero on a coupon payment date. A Bloomberg bond example using NL/365 shows one accrued day on the payment date, while other day-count conventions are expected…
The document describes how to bootstrap discount factors from annual fixed-rate OIS swaps with successive maturities. Starting with the shortest swap, it sets the swap’s present value to zero and solves for its terminal discount factor. Each longer swap then…
The document explains how to supply a missing historical fixing when pricing floating-rate bonds in QuantLibXL. Its proposed workflow starts from a bond’s previous cash-flow date, converts that date to the relevant index fixing date, then adds a default rate…
The document explains how to price a payer swaption when the forward swap rate follows a normal, or Bachelier, model rather than a lognormal Black model. It expresses the swaption payoff as the positive part of the difference between the swap rate and…
This explanation describes how to infer market expectations for central bank rate changes in Europe using overnight index swap meeting contracts. Each contract spans the effective dates associated with two successive policy meetings. Its fixed rate can be…
This QuantLib example compares the net present value of a fixed-rate bond with a separately calculated discounted cash-flow sum. The two calculations disagree because the zero curve starts several months before the stated valuation date. The accepted answer…
This QuantLib example explains a negative-time error encountered while valuing an interest rate swap. The accepted answer points to a likely mismatch between the curve reference date and cash-flow dates: requesting a discount factor for a date before the…
The document distinguishes volatility quotes by both pricing framework and volatility convention. OIS volatility refers to pricing in a multiple-curve setting, while LIBOR volatility is associated with the older approach in which discounting and forwarding…
Treasury bond futures are linked to a basket of eligible bonds rather than one fixed security. The short can choose which bond to deliver, and the cheapest-to-deliver bond is identified by comparing each bond’s market price with its conversion factor. The…
This troubleshooting example addresses a failed QuantLib bootstrap built from Treasury yields. The error occurs at the one-year instrument because the curve solver cannot bracket a root. The key issue is a mismatch between the quote expected by the…
The document explains why a cap option example presents both a 7% LIBOR or swap zero curve and a 6.9395% continuously compounded zero rate. The rates use different quoting conventions: a 7% annual LIBOR rate with quarterly payments corresponds to four…
The document considers whether an exponential stopping-time intensity changes when pricing a prepayment claim under the risk-neutral measure. It explains that a Poisson process used only to define an exogenous redemption time need not change under the…