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 interest-rate indices with different tenors can have different values and why derivatives referencing them may require separate curves. It attributes part of the spread between six-month and three-month LIBOR to the additional bank…
The document compares ways to value constant-maturity swap (CMS) products, focusing on how an annuity mapping function and convexity adjustment account for the change of measure. One approach approximates the expected mapped swap rate with a second-order…
The document considers whether the spread between SOFR and US Treasury rates can serve as a credit-risk indicator analogous to the LIBOR–Treasury TED spread. Its central point is that a negative SOFR spread should not, by itself, be interpreted as evidence…
The document gives a simple way to estimate the interest-rate sensitivity of a zero-coupon bond. It compares the present value of the bond at the current yield with its present value after increasing the yield by one basis point. The difference is used as…
The document asks how to estimate the chance that one company’s credit rating will be upgraded or downgraded over time. The reply describes two perspectives: rating agencies use industry-specific scorecards combining company and broader economic factors,…
The discussion examines whether a short callable bond can be hedged with a receiver Bermudan swaption when their exercise dates align. It explains that the bond issuer’s call feature can often be hedged by selling a receiver swaption, but the instruments are…
The document points readers seeking an overview of credit risk premia toward research on corporate bonds, systematic credit strategies, and tactical allocation. The cited work argues that measuring credit excess returns requires adjusting for interest-rate…
The document lists SOFR swap market tickers and their associated maturities, from short weekly and monthly tenors through long-dated swaps. It frames the list as a starting point for building a SOFR discounting curve comparable to those produced by Bloomberg…
For hard-currency credit default swaps, the response says the pricing calculations are the same across corporate, sovereign, agency, and municipal reference entities. Recovery assumptions should follow market conventions, which can vary by issuer type and…
The document distinguishes calculating an inflation-linked bond’s real yield from estimating its projected nominal yield. For real yield, use the bond’s real coupon and price in a standard bond-yield calculation, rather than adjusting a nominal bond’s coupon…
The document discusses estimating default probability with the Merton structural credit model from monthly equity returns, a risk-free rate, equity value, and debt face value. It outlines a workflow that converts prices to log returns, estimates return…
The document proposes a way to hedge the convexity of long-dated fixed cash flows, using a long-maturity swap as the example. The theoretical construction is to sell at-the-money payer and receiver swaptions with very short expiries, sized according to the…
The document explains why greater bond convexity is not automatically better when comparing portfolios with equal value and duration. Convexity contributes a positive second-order price effect for yield changes in either direction, but this comparison omits…
The document asks how interest rate caps and floors differ in purpose from forward rate agreements (FRAs). It notes that both can provide exposure to future interest rates, making their functions seem similar, and focuses on when their payments occur. The…
The explanation connects currency basis swap (CBS) rates to FX forward pricing in the Garman–Kohlhagen currency option model. A forward rate can be taken directly from the FX forward market or derived from spot and the two currencies’ interest rates using…
The explanation describes how an imbalance in client demand can affect swap rates through the inventory of dealers and issuers. A dealer may temporarily absorb opposing trades, much as a market maker buffers buy and sell orders. If client positions offset…
The document explains why the accrual factor appears when normal swap rate volatility and correlation are mapped into a lognormal volatility parameter in a one-factor CMS model. Define the transformed rate as one plus the accrual factor times the swap rate.…
The document clarifies the meaning of the quanto factor in a discounted valuation expression for a forward payoff converted into another currency. The factor is a fixed exchange rate agreed in advance, rather than an exponential adjustment based on…
The document gives examples of negative interest rates and explains how they can appear in forward markets. A negatively sloped yield curve can imply a negative forward rate; the responses mention an inverted US term structure and Treasury bills trading at…
The document raises a conceptual question about Treasury bond futures basis net of carry and delivery optionality. It asks whether the value of choosing a different deliverable bond—potentially favored by conversion factor differences—would be reflected in…
The discussion concerns the unconditional covariance of a multidimensional Ornstein–Uhlenbeck process, expressed as an integral involving the drift matrix and the diffusion covariance. It asks how to evaluate that integral in a dynamic Nelson–Siegel or…
The document asks whether a single constant volatility can approximate prices produced from a curve or surface of Black implied volatilities for products such as floating-rate notes with caps or floors and constant-maturity swaps. It also asks whether a…
The document compares the adoption of the MOVE and TYVIX interest-rate volatility indices with the popularity of VIX. It distinguishes MOVE, which measures implied yield volatility using rates-market quotes, from TYVIX, which measured Treasury price…
The document addresses why a euro LIBOR interest-rate swap may calculate floating and fixed interest accruals using different day-count conventions. It attributes the floating leg’s convention to the euro money-market standard, while the fixed leg uses an…