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 examines whether a spot date is unique to a currency or instead depends on the conventions of an instrument. It notes that spot dates are determined by both the spot lag and the business-day calendar used to count that lag. As an example, USD…
The document concerns adding principal redemptions that fall between coupon dates to an amortizing floating-rate bond in QuantLib. Assigning a redemption directly to the bond’s redemption list did not make the cash flow appear in the reported schedule. The…
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 answer proposes estimating future bond defaults with a Bayesian predictive distribution, then discounting expected losses at the investor’s marginal cost of funds. It illustrates the approach with a simplified all-or-nothing, zero-coupon bond model:…
The document addresses whether the tenor of a LIBOR rate used for discounting should match a swap leg’s payment frequency. Its answer says that LIBOR is generally not the preferred discount curve for uncollateralized trades. Because LIBOR includes a credit…
The discussion explains why calibrating a Bermudan swaption model only to coterminal European swaptions may miss important market drivers. A Bermudan’s exercise value can depend on swap rates and swaption prices across many expiries and tenors, including…
The document raises a curve-construction question about combining SOFR futures at the front end with SOFR swaps at the longer end. It notes that centrally cleared swaps require daily cash variation margin and asks whether that feature makes their economics…
The document asks how to estimate the option-adjusted spread (OAS) of a portfolio when only the OAS of each security can be calculated. It identifies several possible weighting bases, including balance, duration, and dollar duration, but does not establish a…
The document explains that the discount curve used to value a swap is connected to the collateral terms agreed by the counterparties. Those terms are set out in the Credit Support Annex, which forms part of the contractual arrangement governing collateral…
The document explores the meaning of a tradable asset in the numeraire pricing theorem, using short rates and interest rate models as examples. Under a measure associated with a chosen numeraire, the price of a tradable asset divided by that numeraire is a…
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…
This question asks whether to price caplets on one-month USD floating rates with a normal Bachelier model or a lognormal Black model. The instruments are caps intended to limit rate exposure on pay-floating, receive-fixed swaps, with floating payments…
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 examines whether a Dynamic Nelson–Siegel model can explain CDS curve PnL when individual tenor residuals vary sharply over time. Even with high regression fit, changing residuals can dominate the PnL of a concentrated tenor position, while…
The document discusses which reference rate to subtract when calculating historical excess returns for a portfolio’s efficient frontier. It contrasts short Treasury bill rates, rates matched to the investment horizon, and rates based on historical…
This document compares two ways of writing a self-financing portfolio in a discrete-time market with a stock and a money-market account. In one convention, the bond position is expressed as the amount of money invested; in the other, it is expressed as the…
This document collects suggested online lectures, conference talks, courses, and notes related to quantitative finance. The topics range from financial mathematics, risk-neutral pricing, delta hedging, and option strategies to volatility, interest rate and…
The document questions whether portfolio optimization should focus on present value in a base currency or on meeting future liquidity needs in specified currencies. It motivates the question with observations about negative interest rates and the relative…
The document explains when discrete and continuous compounding are used in cost-of-carry pricing for equity futures. Discrete rates are common in practice because real cash flows, such as bond coupons, occur at intervals. Continuous compounding is often…
The document asks how Z-spread and discount margin differ when valuing fixed-rate and floating-rate bonds. It describes Z-spread as a parallel shift applied to the zero-rate curve and notes the common association of Z-spread with fixed-rate notes and…
The document asks how to estimate standard errors robust to heteroskedasticity and serial correlation in an OLS regression of monthly yield changes on the current yield. This is a time-series inference problem: conventional OLS standard errors may be…
The document surveys how option theory can represent real assets and corporate financing decisions. Models may combine the option to invest in growth, debt and equity issuance, and an endogenously chosen default threshold. This framework extends the…
The document derives a forward rate from the expectation hypothesis under annually compounded rates. The hypothesis equates the compounded return from investing over a longer maturity at today’s spot yield with the product of the successive one-period spot…
The document raises a numerical modeling concern about the transition from LIBOR-linked instruments to SOFR-linked instruments. Since SOFR compounds and resets daily, a model that previously used monthly time steps for multi-year instruments may introduce…