<t>Thanks for your answer, I think you're quite right actually, there might be no perfect method that could fit all market conditions...looking at other subjects I see that there are a lot of threads on yield curve interpolation, I am using Whittaker Henderson to interplate the Long term (>2y) part ...

<t>Hi ,I was only given the paper version of that paper, sorry... as I told earlier, my aim is not to compute my end of day P&L, but to monitr the position of my risk along the day, I just thought that if a given projection is capable of giving a correct P&L, it should be mre or less correct...

<t>Hi,Thanks for your answers, the purpose of the tool is effectively not to compute the P&L at the end of the day, nor it is to find trading opportunities based on relative value for example; the goal is to simplify the view one can have at a euro-swaps book along the day. In fact, one should n...

<t>By discrepancies, I mean that choosing for example to project the 17y on the 15y and 20y only or on all liquid maturities is going to give me very different projections at the end, leading to very different interpretations of the portfolio positions (e.g. flattening on one side, steepening and ev...

<t>Hi,I know the subject has already been suggested, but don't think it was really covered here. My problem is quite basic, and I expect many of you to have a bunch of answers for me ! I have basically the position of a vanilla swap book, expressed as a vector of sensitivities on the different bucke...

<t>Hi,I don't know if this is what johnself11 would like to do, but this is EXACTLY what I would like to do. At the moment I just have reprojected all my risk buckets on the surrounding tradeable ones using coeffcients given by linear regression, but I am actually looking for something better,Thanks...