network profile
| bio | website | |
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| location | ||
| age | ||
| visits | member for | 5 months |
| seen | Jan 25 at 14:36 | |
| stats | profile views | 0 |
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Jan 17 |
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Inflation swap liquidity versus inflation-linked bonds Sure - thanks a lot! |
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Jan 17 |
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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. |
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Jan 17 |
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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? |
