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The cause-effect relation is the other way round. The driver is the change in yields, and the effect is the change in the difference between futures and spot. The fixed income markets (specifically the government bond markets) are among the deepest (i.e. highest volumes and notional balances) and most liquid. I do not believe anyone tracks the difference ...


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Cross currency swaps (XCSs) are LIBOR instruments. The difference is the difference in 7y swapspreads in the two currencies. A swapspread is the difference between the treasury yield and LIBOR in each currency.


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By definition; to get your required annual perpetual return of r, you trivially pay 1 USD up-front to get r USD annually. To get those annual payments from the consol bond in question you need to have r/c bonds (each paying c USD annually). To get those bonds for your 1 USD up-front payment, they have to sell at the price of c/r USD which is hereby ...


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It’s because you only lose the Gross basis on a portion of the bonds (ie the amount that you will deliver against the futures). For example if you start with 1 bond and short CF amount of futures, you will deliver CF bonds against the contract, losing the gross basis on CF bonds. . You will pick up P(late)- P(2pm) on (1-CF) amount of bonds.


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KRDs can be calculated by shifting either the par or the spot (zero coupon) curve and many vendor systems will provide both out of the box. Both approaches are “correct”. Typically the par curve is favored since this is directly observable, but again this is a matter of preference. Major benchmarks (Bloomberg Barclays, FTSE/Citi) publish only par curve ...


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you might be interested in this: Learning Curve Dynamics with Artificial Neural Networks https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3041232


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that may be too long for a parametric method to estimate pnl. can't you reprice your cds with today's interest rate curve and cds spreads?


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as @dm63 noted, look at fed funds futures. also look at ois swap rates and sofr 3m futures. they should all embed market expectation of rate hikes/cuts. one way to extract market expectation is to use piecewise flat interpolation of 1d forward rates with nodes on fomc meeting dates and also adjust your forward for month end/quarter end/year end jumps.


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Are you talking about Fed Funds futures? That is the most liquid instrument relevant to your question. What happens is that the futures move according to what the market expects the Fed to do, then the spot moves according to what they actually do.


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Let $df\left(t_1, t_2\right)$ represent the discount factor between the two periods. You then have: $df\left(t_0, t_2\right) =df\left(t_0, t_1\right) \,df\left(t_1, t_2\right) $ So $df\left(t_1,t_2\right) =\frac{df\left(t_0, t_2\right)}{df\left(t_0, t_1\right) }$ The forward rate between the two periods as at time 0 is as follows: $F\left(0, t_1,t_2\...


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The process you are using for $B_{t}$ is the price of the bond rather than the value to you of the portfolio in which you buy and hold a bond and reinvest coupons. If we set $V_{t}$ to be the value of this strategy, we would have as you mention \begin{align} &V_0 = \frac{ cF }{ 1 + r } + \frac{ cF }{ { ( 1 + r ) }^2 } + \frac{ cF + F }{ { ( 1 + r ) }^3 ...


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