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 explains why a common asset swap exchanges the bond’s face amount rather than its market price at inception, and how that convention affects the spread. It frames the asset swap spread as a relative-value measure built from the bond’s price…
The document discusses alternatives for rebuilding long-run historical asset return series after discontinuation of the Stocks, Bonds, Bills, and Inflation Yearbook. It identifies candidate sources for several categories: broad large-cap stocks, Fama–French…
The document outlines ways to infer a company’s default risk from bond prices and credit spreads. A simple intensity model assumes a constant default hazard, recovery rate, and discount rate, then compares the present value of risky bond cash flows with a…
The exchange addresses which day-count bases to use when calculating implied interest rates from covered interest rate parity for the Australian dollar and US dollar pair. The accepted response points to a market-conventions reference, and another response…
The question asks how to estimate the price change of a long-term coupon bond after its yield rises, using modified duration alone and then adding convexity. It supplies the bond’s maturity, par value, coupon, starting yield, modified duration, convexity,…
The document describes a bond portfolio optimizer that maximizes yield subject to allocation limits, including duration, issuer, sector, and rating constraints. The author adds a requirement that a specified number of bonds must receive at least a minimum…
The document explains how to solve the differential equation for a firm’s survival probability when the default hazard rate varies over time. It begins with the condition that the firm has not defaulted at the initial time, so survival probability starts at…
The document explains how to discount a fixed-coupon bond when coupons are paid more often than once a year. It distinguishes the coupon cash flow per payment from the annual coupon amount, then shows that each payment must be discounted using a rate and…
The document outlines quantitative and market changes that may follow the replacement of interbank benchmarks such as LIBOR with alternative rates. It names SOFR for US dollar markets and SARON for Swiss franc markets, and notes that adoption and liquidity…
The document clarifies how slide or rolldown relates to basis net of carry (BNOC) in a Treasury futures trade based on the cheapest-to-deliver bond. To calculate net basis, the response says to account for all economic effects before delivery, including…
The document explains why a government bond’s yield to maturity is not, by itself, a forecast of its realized return over a future holding period. Under a no-default assumption, coupon payments can be forecast relatively directly, but the bond’s price at the…
The answers clarify that a bond’s coupon frequency determines how coupon payments are made, while the quoted annual yield depends on the compounding convention. A semiannual coupon quoted at an annual rate is divided by two to obtain each half-year payment…
The note studies a modified interest rate swap whose floating payment at a period end uses a rate set on that same date, rather than the usual rate fixed at the preceding date. It asks how to value the floating leg and determine the corresponding fair fixed…
The discussion explains how to value a five-year arrangement in which an investor pays par, receives LIBOR plus a spread annually, and gets principal back at maturity. It treats the cash flows as a floating-rate note (FRN): a LIBOR-only FRN valued at par…
The response explains how basis swaps help build a consistent family of interest-rate curves when liquid instruments provide direct market quotes for only some tenors or reference rates. It describes a typical set that can include overnight-indexed…
The document distinguishes accrued interest from the amount ultimately paid as a coupon. For a typical fixed-coupon bond, the day-count convention is often used to calculate accrued interest between coupon dates, while the scheduled payment remains the…
The document outlines how to develop credit scores or estimate corporate default probability from financial statements. It recommends beginning with Altman’s scoring model and reviewing comparative research on scoring approaches. A typical workflow selects…
The document describes an attempted QuantLib approach to pricing callable, fixed-rate Danish mortgage bonds with and without amortization. It extends a callable fixed-rate bond class to build coupon cash flows from a schedule of changing notionals,…
The document addresses how to set discount factors between a valuation date and the effective date of the earliest available swap. It presents two approaches: extrapolate the curve using the same method used between known pillars, such as linear zero-rate…
The document addresses which implied volatility to use in a convexity adjustment when valuing a Libor-in-arrears swap cash flow. The relevant volatility comes from an option whose expiry matches the rate reset date and whose underlying rate covers the…
Defaulted loans can retain value through collateral, restructuring, or eventual repayment. Buyers estimate potential recovery and pay less than that expected value, accepting uncertainty and the possibility that actual recoveries will be lower. Specialists…
The document explains why querying a QuantLib discount curve at a time of two years may not return the discount factor supplied for a date two calendar years after the curve’s reference date. The curve is constructed from dates and discount factors using the…
The document explains why a long-only minimum-variance optimizer may assign positive weights to only a few assets, even when the investment universe contains many ETFs. The question concerns a portfolio built from monthly returns for U.S. equity and bond…
The document questions an analysis that compares the correlation of an uncertainty index and a fixed-income ETF index before and after a financial crisis. It asks whether comparing their levels is technically sound, given the common advice to analyze…