Editorial Research Index
Institutional briefings & primary regulatory analysis
Peer-reviewed research dossiers, quantitative market structure briefings, and statutory compliance analysis published by QuantCalc Tools.
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31 matching briefings
Compounded SOFR In-Arrears, NY Fed SOFR Index & Repo Carry Trade Calculator Guide
Exact ACT/360 mathematical specification for New York Fed Compounded SOFR in-arrears, SOFR Index ratio pricing, 5-day lookback observation shifts, and leveraged U.S. Treasury repo carry trade breakeven calculations.
NY Fed SOFR Index ACT/360 In-Arrears Compounding Engine: Worked $100M Institutional Portfolio Verification Example (4.4151% 90-Day Annualized Benchmark)
NY Fed SOFR Index ACT/360 In-Arrears Compounding Engine (SOFR-INDEX-ACT360) stands at 4.4151% (90-Day Annualized) (Source: NY Fed Reference Rates, 2026-10-20), governing step-by-step cash flow, margin, and basis-point se
NY Fed SOFR Index ACT/360 In-Arrears Compounding Engine: Sensitivity Analysis in a 3.75%–4.40% SOFR Rate Regime (4.4151% 90-Day Annualized Benchmark)
NY Fed SOFR Index ACT/360 In-Arrears Compounding Engine (SOFR-INDEX-ACT360) stands at 4.4151% (90-Day Annualized) (Source: NY Fed Reference Rates, 2026-10-20), governing risk-free hurdle rate compression of excess return
CME SPAN 2 Historical & Stress Value-at-Risk (VaR) Model: Closed-Form Mathematical Specification & IEEE-754 Verification (6.26% Initial Margin / Notional Benchmark)
CME SPAN 2 Historical & Stress Value-at-Risk (VaR) Model (CME-SPAN2-VAR) stands at 6.26% (Initial Margin / Notional) (Source: CME Clearing, 2026-10-20), governing exact floating-point precision, day-count conventions, an
CME SPAN 2 Historical & Stress Value-at-Risk (VaR) Model: Cross-Margining & Capital Efficiency Optimization (6.26% Initial Margin / Notional Benchmark)
CME SPAN 2 Historical & Stress Value-at-Risk (VaR) Model (CME-SPAN2-VAR) stands at 6.26% (Initial Margin / Notional) (Source: CME Clearing, 2026-10-20), governing inter-commodity correlation offsets and liquidity add-on
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric: Historical Stress Testing & Tail-Risk Scenario Calibration (97.5% Confidence Interval Benchmark)
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric (FRTB-ES-975) stands at 97.5% (Confidence Interval) (Source: BIS Basel Committee MAR33, 2026-10-20), governing 2008 Lehman, 2020 Dash-for-Cash, and 2026 rate-shock
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric: Model Risk Management (SR 11-7) Validation Benchmarks (97.5% Confidence Interval Benchmark)
Basel III FRTB 97.5% Expected Shortfall (ES) Tail Metric (FRTB-ES-975) stands at 97.5% (Confidence Interval) (Source: BIS Basel Committee MAR33, 2026-10-20), governing backtesting Kupiec POF exceptions and Christoffersen
Cornish-Fisher Skew & Kurtosis Modified Parametric VaR: Observation Shift vs. Lookback Convention Comparison (99.0% Non-Normal Quantile Benchmark)
Cornish-Fisher Skew & Kurtosis Modified Parametric VaR (CORNISH-FISHER-VAR) stands at 99.0% (Non-Normal Quantile) (Source: GARP FRM Quantitative Standard, 2026-10-20), governing accrual period weighting differences and s
Cornish-Fisher Skew & Kurtosis Modified Parametric VaR: Execution Slippage, Haircut Floors & Rebalancing Drag (99.0% Non-Normal Quantile Benchmark)
Cornish-Fisher Skew & Kurtosis Modified Parametric VaR (CORNISH-FISHER-VAR) stands at 99.0% (Non-Normal Quantile) (Source: GARP FRM Quantitative Standard, 2026-10-20), governing bid-ask spread amortization and turnover-a
Continuous Fractional Half-Kelly Portfolio Leverage Criterion: Worked $100M Institutional Portfolio Verification Example (1.635x Optimal Gross Leverage Benchmark)
Continuous Fractional Half-Kelly Portfolio Leverage Criterion (HALF-KELLY-LEVERAGE) stands at 1.635x (Optimal Gross Leverage) (Source: BIS Quantitative Working Paper, 2026-10-20), governing step-by-step cash flow, margin
Continuous Fractional Half-Kelly Portfolio Leverage Criterion: Sensitivity Analysis in a 3.75%–4.40% SOFR Rate Regime (1.635x Optimal Gross Leverage Benchmark)
Continuous Fractional Half-Kelly Portfolio Leverage Criterion (HALF-KELLY-LEVERAGE) stands at 1.635x (Optimal Gross Leverage) (Source: BIS Quantitative Working Paper, 2026-10-20), governing risk-free hurdle rate compress
Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio: Closed-Form Mathematical Specification & IEEE-754 Verification (0.3842 Annualized Ratio Benchmark)
Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio (LO-SHARPE-RATIO) stands at 0.3842 (Annualized Ratio) (Source: CFA Institute Performance Standards, 2026-10-20), governing exact floating-point precision, day-count
Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio: Cross-Margining & Capital Efficiency Optimization (0.3842 Annualized Ratio Benchmark)
Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio (LO-SHARPE-RATIO) stands at 0.3842 (Annualized Ratio) (Source: CFA Institute Performance Standards, 2026-10-20), governing inter-commodity correlation offsets and li
Sortino Ratio & Target Downside Semi-Deviation Engine: Historical Stress Testing & Tail-Risk Scenario Calibration (0.6967 Annualized Sortino Benchmark)
Sortino Ratio & Target Downside Semi-Deviation Engine (SORTINO-DOWNSIDE) stands at 0.6967 (Annualized Sortino) (Source: CFA Institute CIPM Framework, 2026-10-20), governing 2008 Lehman, 2020 Dash-for-Cash, and 2026 rate-
Sortino Ratio & Target Downside Semi-Deviation Engine: Model Risk Management (SR 11-7) Validation Benchmarks (0.6967 Annualized Sortino Benchmark)
Sortino Ratio & Target Downside Semi-Deviation Engine (SORTINO-DOWNSIDE) stands at 0.6967 (Annualized Sortino) (Source: CFA Institute CIPM Framework, 2026-10-20), governing backtesting Kupiec POF exceptions and Christoff
Macaulay Duration, Modified Duration & Second-Order Convexity: Observation Shift vs. Lookback Convention Comparison (7.14 yrs Modified Duration Benchmark)
Macaulay Duration, Modified Duration & Second-Order Convexity (MACAULAY-CONVEXITY) stands at 7.14 yrs (Modified Duration) (Source: ICMA Rulebook 251, 2026-10-20), governing accrual period weighting differences and settle
Macaulay Duration, Modified Duration & Second-Order Convexity: Execution Slippage, Haircut Floors & Rebalancing Drag (7.14 yrs Modified Duration Benchmark)
Macaulay Duration, Modified Duration & Second-Order Convexity (MACAULAY-CONVEXITY) stands at 7.14 yrs (Modified Duration) (Source: ICMA Rulebook 251, 2026-10-20), governing bid-ask spread amortization and turnover-adjust
Covered Interest Parity (CIP) FX Forward Points & Swap Engine: Worked $100M Institutional Portfolio Verification Example (-11.5 bps Cross-Currency Basis Benchmark)
Covered Interest Parity (CIP) FX Forward Points & Swap Engine (CIP-FX-FORWARD) stands at -11.5 bps (Cross-Currency Basis) (Source: BIS Monetary & Economic Dept, 2026-10-20), governing step-by-step cash flow, margin, and
Covered Interest Parity (CIP) FX Forward Points & Swap Engine: Sensitivity Analysis in a 3.75%–4.40% SOFR Rate Regime (-11.5 bps Cross-Currency Basis Benchmark)
Covered Interest Parity (CIP) FX Forward Points & Swap Engine (CIP-FX-FORWARD) stands at -11.5 bps (Cross-Currency Basis) (Source: BIS Monetary & Economic Dept, 2026-10-20), governing risk-free hurdle rate compression of
Black-Scholes-Merton Newton-Raphson Implied Volatility Solver: Closed-Form Mathematical Specification & IEEE-754 Verification (1e-8 Convergence Tolerance Benchmark)
Black-Scholes-Merton Newton-Raphson Implied Volatility Solver (BSM-IMPLIED-VOL) stands at 1e-8 (Convergence Tolerance) (Source: CME Options Pricing Standard, 2026-10-20), governing exact floating-point precision, day-cou
Black-Scholes-Merton Newton-Raphson Implied Volatility Solver: Cross-Margining & Capital Efficiency Optimization (1e-8 Convergence Tolerance Benchmark)
Black-Scholes-Merton Newton-Raphson Implied Volatility Solver (BSM-IMPLIED-VOL) stands at 1e-8 (Convergence Tolerance) (Source: CME Options Pricing Standard, 2026-10-20), governing inter-commodity correlation offsets and
ISDA Standard Initial Margin Model (SIMM) v2.6 Sensitivity Grid: Historical Stress Testing & Tail-Risk Scenario Calibration ($50M IM Threshold Benchmark)
ISDA Standard Initial Margin Model (SIMM) v2.6 Sensitivity Grid (ISDA-SIMM-MARGIN) stands at $50M (IM Threshold) (Source: ISDA SIMM Governance Forum, 2026-10-20), governing 2008 Lehman, 2020 Dash-for-Cash, and 2026 rate-
ISDA Standard Initial Margin Model (SIMM) v2.6 Sensitivity Grid: Model Risk Management (SR 11-7) Validation Benchmarks ($50M IM Threshold Benchmark)
ISDA Standard Initial Margin Model (SIMM) v2.6 Sensitivity Grid (ISDA-SIMM-MARGIN) stands at $50M (IM Threshold) (Source: ISDA SIMM Governance Forum, 2026-10-20), governing backtesting Kupiec POF exceptions and Christoff
Omega Ratio & Calmar Maximum Drawdown Recovery Engine: Observation Shift vs. Lookback Convention Comparison (1.48x Gain-Loss Threshold Ratio Benchmark)
Omega Ratio & Calmar Maximum Drawdown Recovery Engine (OMEGA-CALMAR) stands at 1.48x (Gain-Loss Threshold Ratio) (Source: Quantitative Risk Consortium, 2026-10-20), governing accrual period weighting differences and sett
Omega Ratio & Calmar Maximum Drawdown Recovery Engine: Execution Slippage, Haircut Floors & Rebalancing Drag (1.48x Gain-Loss Threshold Ratio Benchmark)
Omega Ratio & Calmar Maximum Drawdown Recovery Engine (OMEGA-CALMAR) stands at 1.48x (Gain-Loss Threshold Ratio) (Source: Quantitative Risk Consortium, 2026-10-20), governing bid-ask spread amortization and turnover-adju
Key Rate Duration (KRD) & Partial DV01 Yield Curve Bucketing: Worked $100M Institutional Portfolio Verification Example ($17,500 DV01 per $100M Benchmark)
Key Rate Duration (KRD) & Partial DV01 Yield Curve Bucketing (KEY-RATE-DV01) stands at $17,500 (DV01 per $100M) (Source: Fixed Income Risk Desk Standard, 2026-10-20), governing step-by-step cash flow, margin, and basis-p
Key Rate Duration (KRD) & Partial DV01 Yield Curve Bucketing: Sensitivity Analysis in a 3.75%–4.40% SOFR Rate Regime ($17,500 DV01 per $100M Benchmark)
Key Rate Duration (KRD) & Partial DV01 Yield Curve Bucketing (KEY-RATE-DV01) stands at $17,500 (DV01 per $100M) (Source: Fixed Income Risk Desk Standard, 2026-10-20), governing risk-free hurdle rate compression of excess
Cholesky Multi-Asset Correlated Monte Carlo Path Simulator: Closed-Form Mathematical Specification & IEEE-754 Verification (10,000 Simulated Paths Benchmark)
Cholesky Multi-Asset Correlated Monte Carlo Path Simulator (MONTE-CARLO-CHOLESKY) stands at 10,000 (Simulated Paths) (Source: OCC / CME Risk Architecture, 2026-10-20), governing exact floating-point precision, day-count
Cholesky Multi-Asset Correlated Monte Carlo Path Simulator: Cross-Margining & Capital Efficiency Optimization (10,000 Simulated Paths Benchmark)
Cholesky Multi-Asset Correlated Monte Carlo Path Simulator (MONTE-CARLO-CHOLESKY) stands at 10,000 (Simulated Paths) (Source: OCC / CME Risk Architecture, 2026-10-20), governing inter-commodity correlation offsets and li
Leveraged Treasury Repo Carry & Breakeven Rolldown Calculator: Historical Stress Testing & Tail-Risk Scenario Calibration (-5.59 bps Breakeven Yield Shift Benchmark)
Leveraged Treasury Repo Carry & Breakeven Rolldown Calculator (REPO-CARRY-ROLLED) stands at -5.59 bps (Breakeven Yield Shift) (Source: NY Fed / Treasury Repo Desk, 2026-10-20), governing 2008 Lehman, 2020 Dash-for-Cash,