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How to measure Steepener/Flattener/Butterfly sensitivity? (in 01)

I think this question may be referring to something like what's done for curve gamma - a measure that's pretty important to spread options portfolios, for example. Leaving the PCA route aside, one ...
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2 votes

Can PCA be used to transform a ladder of interest rate risk?

PCA is a mathematical transformation from a certain basis representation, i.e. 1y,2y,3y,4y, into another representation PC1, PC2, PC3 and PC4. In its raw form it is not a dimension reduction procedure....
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swap carry/rolldown mid-period

Swaps are derivatives not securities, and they do not have intrinsic cost-of-carry, in a pricing sense. They do not involve an outlay of cash to purchase so do not require funding. Another way to ...
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