Are crude oil futures traded regularly for 3 to 7 years maturity?

Read this. In short, for calculating real exports and imports BEA use export/import deflation indices. If those indices are not available, they use local inflation measures. Petroleum falls into group of products that they price directly with energy prices. BoJ has a similar approach.

QuoteOriginally posted by: OrbitQuoteOriginally posted by: eurokopekNo(4,489,000,000,000 USD) / ( 400,000,000,000 GBP) = 11.22 Dollars per pound.Sorry, you're doing it wrong. You must use cash in circulation. For instance,MXN 1 019 591 900 000 / CHF 65 593 200 000 = 15.54.

No

It did not help to answer questions on three pages just to find household income, country of residence and so on are required questions.

What are your favorite ways to skin the cat then?I was thinking about finding factors (35-40) that funds are exposed to, doing some factor analysis to reduce 35-40 to < 8, and combining funds so that some funds have positive exposure to this factor and other negative exposure.

<t>What are some techniques to quantitatively build a portfolio of hedge funds by looking at daily NAV?One approach I saw involved running regression to strip out systematic risks from the returns, finding the alpha and pre-selecting the funds with the highest statistically significant alphas, sorti...

futures cash price = 100 - (100-92.56)*90/360 = 98.14t-bill spot price = 100 - 9*(118/360) = 97.05implied repo = (98.14/97.05)^(365/28) -1 = 15.67%

Your formula looks incorrect to me. Valuation of a currency forward should depend on the interest rates.

Erm, I think you need to do some more reading on the subject. I can send you two papers that I found most useful. In short, PCA wouldn't really work systematically with a holding period of a few minutes.

6m x 10y is probably a 6m option on a 10y swap. I assume you know what implied vol is.

<t>1) You don't need ratios for EACH contract. You need 2 contracts to hedge the first factor, 3 contracts for the first two, 4 for the first three, and so on. 2) 2 simultaneous equations (for three instruments a, b, c of your choice).w'*PC1 = 0, w'*PC2 = 0, < this hedges against first two factors.w...

<r>QuoteOriginally posted by: AnalyticalVegaQuoteOriginally posted by: UltravioletQuoteOriginally posted by: AnalyticalVegaOne of things I'm really interested in is developing a deep intuitive understanding of Quant Math. I think some students may just be shuffling symbols around but not have a real...

<t>Kamil,Is my understanding of what you are plotting correct:1. Forward curve, the rate to borrow for 3 months at point "T"2. (Use the above forward curve to calculate) The rate of a forwarding starting swap, i.e. the 10y swap rate starting at time "T".Your question is:Why is 10y rate of a swap sta...