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 raises a practical issue in valuing credit default swaps across many historical dates with QuantLib’s ISDA conventions. The author wants to calculate present value, points up front, or other measures for each date, using that date’s yield curve,…
The document asks how to infer a bond’s funding or repo rate from its CDS–bond asset-swap basis, including how to account for a bond trading above par. It mentions the C-spread as a possible adjustment for default probability but provides no calculation…
The document asks how to compare bond return volatility before and after a scheduled shock, and whether separate GARCH fits across event windows provide a sound test. It explains that returns can be dependent while remaining uncorrelated, so a conventional…
The document explains the roles of the observation time and the rate period in notation for interest rates. In R(t; S, T), t indicates when the rate is observed, while S and T specify the period over which the rate applies. A spot rate at time t uses S=t; a…
The document explains why North American investment-grade and high-yield CDX index series can appear to have unexpectedly different levels and volatility. The key is that the contracts use different quote conventions. Investment-grade CDX is quoted as a fair…
The document describes a bond-curve fitting problem using government bond cash flows, dirty prices, and the four-parameter Nelson–Siegel model. The questioner generates cash-flow schedules and year fractions, discounts those flows using model-implied zero…
The document explains why a binomial tree used to approximate a short-rate model may assign equal probabilities to its up and down branches. In the described approach, the model first specifies short-rate dynamics under the pricing measure, including drift…
The document explores how to estimate a custom total return bond index when only clean and dirty prices are available. It begins with a price-index formula using dirty prices, then notes that dirty prices fall around coupon payments as accrued interest is…
The document raises a methodological question about applying vector autoregressive models to investigate whether one financial market, such as credit default swaps, leads another, such as equities. The concern is that financial returns are often expected to…
The document explains the fair delivery price of a forward contract on a non-dividend-paying asset. A forward with strike K pays the asset’s terminal value minus K at maturity. The same payoff can be replicated by holding the asset and borrowing the present…
The document compares structural Merton default probabilities with Moody's KMV expected default frequencies. It explains that KMV does not simply convert distance to default into a normal probability: it maps that measure to default frequency using a…
The exercise describes a proposed trade using interest rate swaps, short selling a coupon bond, and rolling deposit funding. It bootstraps discount factors from swap rates, then compares the bond’s discounted cash flows with swap-related receipts to claim a…
The document considers whether interest rate term-structure models can help produce hump-shaped implied volatility across option maturities. It observes a mathematical analogy: an interest rate curve can be expressed using expected future rates, while a…
The document outlines a way to estimate the funding component of a par-issued, fully funded structured note. First, value the embedded option and subtract that value from the issue price to infer the price allocated to the zero-coupon bond. Then convert that…
The document proposes a regression-based method for extending a discontinued three-month commercial paper rate beyond its final observation. The first step is to identify a basket of similar interest rates with overlapping historical data before and after…
The document describes an attempt to revalue a 10-year USD SOFR interest rate swap on consecutive dates using RatesLib curves. The author expects daily mark-to-market changes to relate to swap-rate movements, duration, and carry, but reports noisy results.…
The document explains why an FRA whose floating rate is paid after its accrual end date needs a convexity adjustment. When payment occurs at the rate’s end date, the forward rate is a martingale under the matching forward measure, so its curve-implied value…
The document considers how to find historical US yield curves resembling the current curve, using overnight fed funds and on-the-run Treasury yields across several maturities. It proposes measuring differences at each maturity, then selecting the historical…
The document compares the par rates of two LIBOR 3M versus fixed 1Y swaps: one began in the past, and one begins at spot, with both having the same future payment dates and maturity. It asks whether their par rates should match when priced with a common set…
The document asks how to obtain a short or spot rate from a specified time-dependent forward-rate curve. It proposes evaluating the curve on the diagonal, where the maturity date equals the observation time, and asks whether that substitution is sufficient…
The document addresses how to represent uncertain recovery rates after a credit default when pricing credit derivatives. It identifies random recovery as an extension to Gaussian copula credit models, alongside random factor loadings. The cited discussion…
The document compares one-month forward rates computed by QuantLib with rates recomputed from discount factors on a zero curve. Its manual calculation uses the ratio of the discount factor at the forward period’s start to the factor at maturity, converts…
The note explains the effect of the isInArrears setting on floating-rate coupons in a QuantLib IborLeg. When enabled, the coupon’s fixing date is based on the accrual period’s end date, adjusted backward by the index’s fixing days and calendar rules. When…
The document considers how to value legacy USD LIBOR swaps that fall back to compounded-in-arrears SOFR plus a fixed spread. It distinguishes these fallback cash flows from standard SOFR swaps, whose floating legs compound daily published SOFR. It explains…