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 discusses power reverse dual-currency notes through a Yen investor’s exposure to a Brazilian real and Yen-linked payoff. One explanation frames the investor as long the real forward, or equivalently as holding exposure to the real spot and a…
The discussion asks whether the total number of individual foreign-exchange trades can be obtained, ideally broken down by currency. The answer explains that the over-the-counter structure of the FX market prevents a complete market-wide transaction count:…
The document explains why equity options can have different implied volatilities across strike prices, while foreign exchange options may show a more uniform pattern away from at-the-money. It attributes the equity skew to a negative relationship between…
A stop-market order becomes a market order when its trigger is reached, so a gap through the stop price can lead to a fill at the next available price rather than at the trigger. The example describes a sell stop set above a sharply lower opening price,…
The document outlines ways to hedge the exchange-rate exposure of a bond portfolio whose cash flows are received in a foreign currency. The hedge is intended to gain value when that currency weakens against the investor’s base currency, offsetting the…
The document gives a basic cost-of-carry expression for the fair value of an AUD/USD currency futures contract. It relates the futures price to spot and the difference between the local and foreign interest rates, compounded continuously over the time…
The discussion distinguishes real-world probability modeling for risk measurement from risk-neutral measures used in pricing. For counterparty exposure, the proposed perspective is to model the relevant risk factors and contracts together across currencies…
The document considers a USD-based firm that has agreed to pay a fixed EUR amount at a future date for an asset also priced in EUR. It asks how to hedge both the asset-price movement and the currency exposure. The answer first pairs the agreement with a sale…
The document explains why converting a portfolio’s VaR from one reporting currency to another requires information about both the asset and the exchange rate. For a linear position, one approach estimates volatility directly from the asset price expressed in…
The document investigates why a EUR/USD discount curve bootstrapped from a single cross-currency basis swap helper does not make a constructed EUR leg’s net present value zero. The example builds SOFR and €STR curves, creates a three-month basis quote,…
The document collects historical suggestions for traders seeking broker APIs usable from .NET or C#. It describes Interactive Brokers’ API as requiring TWS or IB Gateway, while noting a community-written C# client. Other replies mention web-service or…
The document outlines a theoretical way one country could fund another country’s borrowing at a lower apparent rate. An intermediary country could borrow in its own currency at a low rate, lend to the borrower at a somewhat higher rate, and use a…
The document explains two fields in a Gain foreign exchange tick dataset: an identifier at the start of each record and a final letter flag. The accepted response describes the identifier as a vendor-assigned unique tick ID that can distinguish multiple…
The document addresses how to discount a corporate loan issued by a US entity when the borrowing is denominated in euros. Its central guidance is to select a curve consistent with the debt’s currency and associated interest-rate risk. For a euro-denominated…
The post compares the risk exposures of floating-floating and fixed-fixed cross-currency swaps with an FX swap. It distinguishes exposure to spot foreign exchange, each currency’s interest-rate curves, and the cross-currency basis. The answer illustrates the…
The document asks what physical settlement means for single-currency fixed-floating interest rate swaps, using Brazilian real swaps as an example. The answers distinguish delivery of currency from cash settlement, where payment amounts are converted or…
The document asks whether an FX forward and a float-to-float cross-currency swap can be treated as equivalent for hedge-effectiveness checks immediately after repricing. It contrasts a forward’s value, based on the difference between current and contracted…
The document gives a brief overview of models commonly used to price exotic options across asset classes. For equity and foreign exchange products, it identifies local stochastic volatility models as a widely used family. It says individual firms may…
This XAUUSD-focused strategy records the low during the final hour of the New York session as a reference level, then compares it with lows during the following Asia and London sessions. If Asia trades below that New York low, the system signals a short at…
This long-only strategy looks for a price dip below a lower VWAP standard-deviation band, then requires sequential recovery signals from an oscillator and MACD. The default oscillator is RSI; StochRSI is an alternative. A minimum distance between VWAP and…
This TradingView indicator builds volume profiles for configurable market sessions and calendar periods, including Tokyo, London, New York, daily, weekly, and longer intervals. It divides each period’s price range into bins, allocates lower-timeframe volume…
This symmetrical EUR/USD strategy uses separate smoothed RSI signals for long and short entries. For longs, it calculates a 10-period RSI and smooths it with a 20-period exponential moving average; a cross above 50 triggers an entry. For shorts, it uses a…
This automated strategy looks for bearish shooting-star candles during a configurable weekday session. A signal requires the bar to make a higher high than the prior bar and close, along with its open, in the lower portion of its range. Optional filters…
This simple strategy counts consecutive closes that rise or fall. Reaching the configured count submits a long or short strategy entry, respectively, and sends an alert at bar close. The accompanying explanation describes forwarding those alerts through a…