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Translate your forecast of yields into a forecast of bond prices: you believe long term bonds will fall in price rel. to short term bonds. So, what to do? Shorten the duration of your portfolio, i.e. sell long term bonds and/or buy short term bonds. Since you don't like long term bonds (and the fixed payments they make to you), you may also enter into ...


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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 ...


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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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According to money market expert Scott Skyrm: quote The FRRP provides a floor to the market because as overnight rates approach the FRRP rate, more volume is executed at the facility and more collateral is added to the market, removing cash. The IOER acts as a ceiling in the overnight market by adding cash, though indirectly. When market rates like fed ...


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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. ...



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