For use in subset of my thesis, I’ve been given some exchange market data for several exchange-listed products, including Eurodollar rate futures as well US treasury futures and Fed Funds futures. I would like to fit an approximate yield curve / multi curve (govt + libor) while explicitly omitting OTC data (e.g. swaps) and cash US treasury data. My goal is to fit these curves to some lower dimensional space then observe deviations of my projected prices from true market prices.
Some questions I have:
- I can pull implied repo data at the start of each day. Is this stable enough to reproduce real market pricing? To pivot my first credit-risk inclusive future (ED) and/or my first riskless (FF? 2yr treasury future?) off of, I will take the respective spot rate at the start of the day as well. I understand FF is uncollateralized (domestic/reserve-holding) corporation-based yields, which are surely not government. However I don’t really know how else to get short end into my risk-free approach. Is there a better way given the data?
- Because I am not using swaps, it’s unclear how I might consider credit-based libor premium. My earliest treasury is 2 years, but I also have Fed funds. I’m not sure if there’s an stripped down modern equivalent that operates under the no-OTC constraints?
- Assuming stable implied repos, I can use intraday futures to imply cash treasuries then determine yields from these implied cash treasuries. Does this seem reasonable?
Any guidance or advice from the practical side (I’ve never done this before) would be highly appreciated.