andy

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visits member for 1 year, 8 months
seen Jan 25 '13 at 14:36

Jan
17
comment Inflation swap liquidity versus inflation-linked bonds
Sure - thanks a lot!
Jan
17
comment Inflation swap liquidity versus inflation-linked bonds
I've noticed that occasionally the 1Y point will kink sharply upwards or downwards (often causing an inflection point in the curve) for a short period of time (say 1-2 months) then return to normal. For example, here is the USD inflation swap curve for the month of Feb 2012, each line on the plot is one day that month.
Jan
17
awarded  Scholar
Jan
17
comment Inflation swap liquidity versus inflation-linked bonds
Thanks Freddy. If you are familiar with inflation swaps, do you know why the 1Y rate tends to behave a little erratically compared to the rest of the curve? Is it due to fixings?
Jan
17
accepted Inflation swap liquidity versus inflation-linked bonds
Jan
6
awarded  Student
Jan
6
asked Inflation swap liquidity versus inflation-linked bonds