How would you analyse the correlation between LIBOR and MXWD?
My initial intention was to get the log return of MXWD and take the opposite of the log return of the LIBOR yield (because when yield goes up, the price of the LIBOR instrument goes down).
I was considering looking at LIBOR 1m, 3m, 6m, 12m. All values are annualised.
How would you do it and why?