Hot answers tagged yield-curve
Within the fixed income space, there's a lot of literature on PCA trading. The first 2-3 principal component factors (PCs) can typically explain 90-99% of the total variances in yield curve movement. It's also nice, because the first PC looks like a change in the overall level of the yield curve, the second PC looks like a slope change, while the third ...
Why do you think this is not apropriate? Matlabs documentation for 1-D Data interpolation states that interpl1 using method spline is the right way to go: Spline interpolation using not-a-knot end conditions. The interpolated value at a query point is based on a cubic interpolation of the values at neighboring grid points in each respective dimension. ...
The 3M-6M basis swap rate should be ~ Forward$_3^6$ $$(1 + \delta Forward_0^3)(1+\delta Forward_3^6) = ( 1 + 2\delta Libor_0^6), $$ where $\delta$ is equal to 3 month. This gives you a way to calculate the rate.
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