Does anyone know of a good analytic formula that can describe a correlation matrix (for example for term structures) with a few parameters?

If you know the correlation between asset A and asset B (rhoAB), and you know the correlation between asset B and asset C (rhoBC), what can you say about the correlation between asset A and asset C (rhoAC) ?

Thanks for the help.

Does anyone know what these abbreviations stand for: DW, GD?In context:Sell DW 5.5 vs. FN 6Buy GD/FN 5 SwapThanks for the help.

The most recent 1 mo Treasury Bill is currently trading at about 2.50%. Why would anyone want to own bills that yield 2.5%, when they could roll cash in Fed funds/repos for 2.75%?

How about a thread similar to the "Internships Wanted" started by QuantBroker, for entry level/junior trader wannabes.Date Available:Location:Current Status: Ideal position:

Does anybody know what could have caused the swaps spreads to move out so much yesterday (2y +2.25 bp, 3y +1.5 bp, 5y +1.5bp)?

Today's JPM Survey: 2 longs, 52 shorts.

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Folks who have already purchased tickets should be able to offer as well. I'm not sure if allowing shorting would be a good idea. The airlines could end up with a huge incentive to squeeze.

Probably he wants International Monetary Market

Check out the CME website. They have a few (maybe not good) papers. The ones by Burghart are ok.

All the banks quote swap spreads as swap rt - OTR (on the run) Treasury yield

To get a feel for the 2y10y curve spread you could look at other curve spreads around (or in between the 2y10y). For example the 6.5y30y spread, the 3y5y spread and the 3mo3y spread.

<t>QuoteOriginally posted by: clarionI hear no one is making in money in equities or equity derivatives these days. You hear wrong. You could have made shitloads of dough in both over the last year, depending on strategies you implemented; Money is always there to be made; generalizing does not work...