Hey there,Can anyone please pm me a soft copy of this paper?Or alternately post it (at my expense).Very hard to get hold of!Barbel J and Copper M., ?Immunization Using Principal Component Analysis?, The Journal of Portfolio Management ?, fall 1996, 99-105. Baz

<t>Hey there,When applying PCA it is usual to throw out the eigenvectors with small eigenvalues on the premise that these contribute relatively little to the process bwing studied.However I wondered if there was a more scientific way of testing which eigenvalues to keep and which to throw out?In ess...

Just ordered the book but the website is down!Can someone post or pm me the code please.

<t>Hi Searle,Sorry but I'm an outsider looking in too.I know a couple of traders in fixed income and they seem pretty cagey about giving out details.Its an interesting question and I'd love to know the answer. But from what I have heard I'm not sure there is one definitive set of instruments not in ...

Thanks Searle,When you say sources are you looking for, papers/books?I assume you want references for 2 curve pricing?Baz

Perfect thank you.

Thanks for this the link is great!One question though, is the interest period as well as the cash payment dates calculated on the mod following convention? (I imagine it would be but can't find a source to confirm it.

<t>Hi there,I am bootstrapping a Euro swap, the curve will be used for rich/cheap analysis and so by definition will not match the observed curve exactly.I was hoping to use Euribor rates at the short end, however there is a pronounced kink in the curve between the 12m Euibor rate and the 2y swap ra...

Can anyone tell me what the roll conventions are for Euribor rate settlement and payments?

Hi there,When using ridge regression, can I still use the standard t, F and hypothesis tests?I assume I can because you are not changing any assumptions about the error process?ThanksBaz

Hi there,Thanks for that, but the problem with PCA is that you usually have to take first differences there too, so I am still stuck for a way to get from those first difference dynamics to the dynamics of the actual curve?

<t>Hi there,I have seen it suggested is that one cure for high multicollinearity is to take first differences of the data.Now usually when you have integrated processes, there is no relationship between the regression coefficients of the first differenced process and the coefficients of the original...

<t>Hey there,I have a model that does rich/cheap analysis on the term structure of interest rates.The key idea is that the model using the most liquid points to imply where the less liquid points should be.Naturally as a rich/cheap model there is a implicit assumption that value of say the 21y relat...

I'm assuming you are refering to 1.)QE distorting the curve2.)More seriously the Libor manipulationHow far up the curve did the libor manipulation extend?Over what period did it occur?

Hey maritnghoul, Even if you don't want to provide a yes/no answer, it'd be good to be aware of the issues to which you allude.Kind RegardsBaz