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
This brief exchange asks which discount curves market participants use to value FX forwards under collateralized and uncollateralized arrangements. The response points readers to research on collateral currency choice, multiple swap curves, and…
The document explains how to inspect the scheduled cash flows of a bond created in QuantLib. Iterating through the bond’s cash-flow objects exposes each payment date and amount, making coupon payments and principal redemption visible. For fixed-rate coupons,…
The document addresses two inputs needed when calibrating a swaption model with QuantLib: the volatility convention and the interest-rate term structure. It notes that QuantLib’s cited calibration example expects Black, or lognormal, volatilities by default,…
A one-year-forward 2-year versus 5-year Treasury steepener can be built from bonds with settlement in one year or expressed through forward-starting interest rate swaps. For bonds, the examples construct forward exposures by combining securities that mature…
This exchange addresses a reported annualized tracking error between Vanguard’s BND bond ETF and the Bloomberg U.S. Aggregate index over a ten-year monthly-return sample. The question treats the measured difference as evidence that passive bond investing may…
The document asks how to estimate the breakeven inflation rate associated with a UK index-linked government bond. It provides an example real yield for a specific maturity and a nominal yield series quoted at benchmark tenors, then proposes subtracting the…
The question asks whether daily returns across asset classes have measurable differences in time-series behavior, distributions, trader composition, and relationships with macroeconomic variables. It gives examples of possible contrasts, such as whether an…
The discussion considers how to calculate monthly cash flows across a large portfolio of loans with varied terms, including rate resets, caps, floors, balloon payments, and prepayment assumptions. Suggested approaches include using a financial software…
The note derives a simple risk-neutral default probability for a zero-coupon bond using its current price, maturity payment, and assumed recovery value. It sets the probability-weighted payoff relative to the purchase price to zero, with one payoff for…
The document considers pricing an autocap, a cap-like contract that automatically exercises in-the-money caplets but limits how many can be exercised. Since its value depends on correlations among LIBOR rates, the author proposes calibrating a LIBOR Market…
The document examines why a default probability inferred from a risky bond's market price can differ from the real-world probability of default. Under the risk-neutral measure, the bond price is expressed as a discounted expected payoff conditional on…
The document explains why a bond’s z-spread and asset-swap spread are often similar when its cash price is near par. The two measures reach a target price in different ways: an asset-swap spread adjusts cash flows, while a z-spread adjusts the discount rate…
The document surveys public and commercial sources for historical nominal yield curves across countries. It distinguishes fitted constant-maturity zero-coupon or par curves from generic benchmark bond yields, which usually track on-the-run securities and are…
The document raises a conceptual question about forward default probability, conditional default probability, marginal default probability, and hazard rate. It asks whether the probability of default over a future interval should be expressed as the…
The document asks how to express a defaultable bond’s credit spread when yields are quoted with semiannual compounding. It begins with the continuously compounded spread as the rate that relates the defaultable bond price to the default-free bond price over…
The document derives the par fixed rate for a forward-starting swap by equating the present values of its fixed and floating legs. Under the stated setup, the floating leg can be expressed as a telescoping sum, giving a par rate determined by discount…
The document gives a Bloomberg Terminal route for finding individual equity-linked security and convertible bond issues, aimed at users who want issuer-level listings rather than market-wide issuance statistics. The suggested workflow is to open the NIM5…
The document concerns the wild card option embedded in Treasury futures and asks how to interpret an equation for the expected payoff from exercising early after a significant price move versus waiting to earn another day of gross. The responses point toward…
The document compares current yield with yield to maturity (YTM) and explains why YTM is more informative than coupon divided by price: it incorporates the timing of coupon and principal cash flows. YTM is the annualized rate that equates the bond’s price…
The document asks how Cox, Ingersoll, and Ross move from a discrete sum involving changes in forward prices and bond discount factors to a continuous-time integral involving local covariance. The author rewrites the summand in terms of relative changes and…
The document explains how a bond portfolio’s DV01 changes when the number of identical bonds increases. DV01 measures the dollar price change associated with a one basis point yield move, so the portfolio’s DV01 is the per-bond amount multiplied by the…
The document explains how to adjust the value of a floating interest-rate payment when its reset, accrual, and payment dates do not follow the standard schedule. Its worked derivation values a rate fixed at one date but paid before the underlying three-month…
The document argues that an arbitrage-free assessment requires specifying a trade sequence that would produce a certain profit without leaving market exposure. One direct check is to compare prices implied by a constructed curve with the market bid and ask…
The document explains common desk terminology for locating swaptions on a volatility grid. The grid is organized by option expiry and underlying swap tenor: short expiries are often treated as gamma exposures, while longer expiries are associated with vega.…