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 raises a research question about using Kagi and Renko charting methods on high-frequency foreign-exchange data. The researcher reports applying them across multiple sample lengths and obtaining small positive results, but says cumulative returns…
The document addresses failures in Python workflows that previously fetched foreign-exchange and other historical price data through Yahoo or Google with tools such as pandas datareader and ffn. The accepted answer attributes the Yahoo failure to changes in…
The document outlines a simulation procedure for a multivariate DCC-GARCH(1,1) model. First, simulate each series’ univariate GARCH volatility and returns, then standardize returns to obtain residuals. Use those residuals to update the DCC latent covariance…
The document resolves an apparent conflict between foreign exchange rate dynamics and the martingale condition under a domestic money-market numeraire. An exchange rate quoted as units of domestic currency per unit of foreign currency has drift equal to the…
The discussion explains why an FX forward calculated from two interest-rate curves may differ from a market quote. It recommends using the relevant zero-coupon rates for the forward’s maturity rather than compounding a one-year rate, and describes covered…
The document asks how a U.S. broker handles margin and profits for a Nikkei 225 futures contract denominated in yen when the customer has a U.S. dollar base account. It distinguishes the contract’s currency from the currency in which the broker collects…
A power reverse dual-currency note can be viewed as a leveraged bet on the exchange rate relative to its forward curve. In a simplified USD/JPY example, each coupon is a positive-part payoff that becomes a call option on USD/JPY, with the strike determined…
The document asks which time zone determines the trade date and value date in an FX transaction when dates are transmitted without a time-zone label. This matters for converting a date into a deadline for reconciling exposure, especially when the relevant…
The document asks how much euros would fairly repay a friend who advanced 100 US dollars for a purchase, given exchange quotes with different buy and sell rates. The answers frame the payment as a loan valuation problem: convert the dollars at the rate…
The document raises questions about how volatility smiles affect the strikes used to construct currency risk reversals. It asks why, under a flat smile, strikes are approximately symmetric around at-the-money in log space, and why that symmetry can place the…
The document responds to a request for a quick reference linking currency trends to other markets. Its main lesson is caution: exchange-rate relationships depend on the time horizon, and a compact list of stable pairings may be misleading. At intraday…
The document explains why a cash flow in one currency may be discounted using the overnight rate associated with the collateral currency. Under a USD collateral agreement remunerated at USD OIS, the foreign-currency cash flow is converted through the…
The document discusses how to construct a daily carry return index for a currency pair and compare it with a vendor index. The proposed approach combines the spot return with the interest earned on the funded currency and the interest cost on the borrowed…
The document asks how to select a smaller representative set from a collection of currency pairs whose return series appear similar. It reports applying principal component analysis to returns and shows variance shares and loadings for a set of…
The document asks how to hedge foreign exchange exposure on a long-dated EUR bond while retaining interest rate exposure. Its answer recommends hedging the bond’s future cash flows with a fixed-for-fixed currency swap, which can be viewed as a series of…
The discussion outlines a cash-flow-based framework for valuing dual-currency bonds. Discount cash flows using the swap curve for the payment currency, adjusted by the relevant cross-currency basis when valuing in another currency. The example values the…
The discussion explains how an FX option table organized by strike relates to a volatility chart organized by delta. Delta links a strike to the option’s moneyness: at a given strike and maturity, the call and put have opposite-side deltas and one is in the…
The document raises practical questions about building a forward curve for non-deliverable forwards when swap points and outright forward quotes are available. It asks whether curve construction should use swap points or outright forwards, how to derive…
The document describes Bloomberg ticker conventions for retrieving currency exchange rate series associated with particular market closes or contributors. The answer identifies the generic currency ticker as a Bloomberg Generic series, with daily closes…
The document describes a researcher’s search for continuous-time stochastic volatility models suitable for simulation and estimation through indirect inference. The stated preferences are models that are reasonably easy to simulate and have relatively few…
The document explains why market quotes may appear with different numbers of decimal places by connecting display precision to minimum price variation, also called a minimum price increment. It says public U.S. equity quotes and U.S. stock indices are…
The document answers which currencies LIBOR covered over time. It notes the original set of U.S. dollars, British pounds, and Deutsche marks, then identifies five currencies discontinued in a 2013 reform: New Zealand dollars, Danish kroner, Swedish kronor,…
The document considers how to add EURUSD European options to a one-day Monte Carlo VaR framework already using correlated historical shocks for FX and commodity returns. The proposed method applies each simulated spot return, reduces time to expiry by one…
The document asks how to estimate the chance that the euro falls below a specified exchange-rate barrier at any point before a deadline. It includes an attempted calculation using an American digital option formula and market inputs such as spot price,…