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 discussion considers how to assign benchmark weights to currencies when constructing a currency portfolio with Black–Litterman optimization. Currency weights require a chosen base currency and a defined date and rebalancing frequency. Possible weighting…
The discussion answers where Python strategies can send live orders across markets, distinguishing execution connectivity from Python’s role in research or backtesting. It names Interactive Brokers’ APIs and tools, including IBPy, IB Gateway, and Trader…
The document distinguishes the market price of a currency forward from the cost of hedging measured relative to spot. Covered interest rate parity links the two: under parity, the forward-to-spot ratio equals the ratio of the two currencies’ gross interest…
The document explains how to compare a quoted currency forward rate with a no-arbitrage rate derived from borrowing and lending rates. When the quoted rate differs, the arbitrageur buys the currency through the cheaper route and sells it through the more…
The discussion compares broker and vendor APIs for collecting real-time and historical market data, especially for US futures, equities, and market depth. It contrasts Interactive Brokers’ update intervals with services that offer tick data, historical…
The document clarifies that overnight (ON) and tomorrow-next (TN) FX quotes refer to swaps with two settlement dates, rather than ordinary forward tenors. ON exchanges the base currency between today and tomorrow; TN exchanges it between tomorrow and the…
The document distinguishes a currency’s convertibility from whether an FX contract delivers the currency. A currency may be difficult or restricted to convert because of capital controls or limited market access, while a non-deliverable forward settles its…
The document explains how to derive the value at an intermediate time of an FX forward whose underlying spot rate is simulated in a Monte Carlo model. It rewrites the value as the difference between the current forward exchange rate for maturity and the…
The document considers pricing options on an illiquid currency pair when only one bank provides option quotes. It asks whether historical realized volatility can support implied volatility estimates, how a market maker might account for a risk premium, and…
The document discusses pricing single- and double-window barrier options, whose barriers are monitored only during a specified interval within the option’s life. It cautions that closed-form formulas are generally limited to Black–Scholes settings with…
The document poses a currency risk management exercise for a Czech company with a euro payable due at month end and an expected euro receipt halfway through the month whose arrival is uncertain. It asks how to hedge the exposure using futures, calculate the…
The document asks why a vendor’s chart of the difference between US and UK ten-year government bond yields changes when the spread is displayed in pounds instead of left as a simple yield subtraction. The reported explanation is that the currency setting…
The document shows how to infer a cross exchange rate from two rates quoted against the same currency. Under a no-arbitrage assumption, EUR/USD is obtained by dividing EUR/JPY by USD/JPY. If EUR/JPY rises by 20% while USD/JPY rises by 25%, the new ratio is…
The document compares two ways to value cross-currency swap cash flows: convert foreign payments using FX forwards and discount in the base currency, or discount foreign payments on a basis-adjusted curve before converting at spot. The answers say these…
The document discusses how to compare foreign exchange trading venues and related technology vendors when public materials do not disclose concrete details such as latency, costs, liquidity, or protocol capabilities. The replies first clarify that electronic…
The document explains why a currency hedge can have an apparent annual cost even when a forward contract produces no profit or loss if the exchange rate at maturity matches the agreed forward rate. The key point is that the forward rate already reflects the…
This discussion diagnoses a mismatch between a foreign exchange vanilla option price calculated with a Black–Scholes framework and a Bloomberg quote. The replies focus on conventions that can materially change the result: whether the exchange rate is quoted…
The discussion distinguishes randomness from independence and reviews ways to examine financial time series. It points to variance-ratio tests as evidence against a simple random-walk model, and suggests that outcomes may vary with sampling interval, market…
The document considers execution risk in a two-market foreign exchange arbitrage. If one leg fills and the other does not, the position is exposed rather than hedged. The question proposes crossing the spread to complete the missing leg, waiting briefly…
The document examines an open foreign-exchange forward that lets its holder choose when to draw down or settle within a defined period, while requiring the full amount by maturity. The accepted response treats this flexibility as an option-like feature: at…
The document discusses whether a mark-to-market cross-currency swap with notional resets can serve as an effective hedge of foreign-exchange exposure under IFRS 9. It focuses on a hypothetical derivative used to represent the hedged item, noting a potential…
The document decodes a short market comment about a two-month Turkish lira put, describing an option with a five-delta level, a strike of 8, and a premium of 0.6%. In FX quoting terms, the position is a USD call and TRY put, with the strike expressed as…
This discussion explains how to align indicators with tick-level backtests when the indicators are usually defined on daily data. For an indicator intended to use daily observations, one approach is to aggregate the ticks into daily closes, calculate the…
The document presents a question about replicating an FX volatility-smile construction method, focusing on how to interpret a delta-related quantity defined using call and put deltas at the strike associated with a specified put delta. The questioner is…