<t>I guess technically you should try to match the betas only. for that multiply the daily xchange rate to Eusrostaxx to convert to dollar and get beta with S&P . Divide this by the currency and contract size of Eurotoxx future . Just remember that you have exposure to both currency and equity m...

To calculate spot rates : we use bootstrapping on libor and swap rates and to value a swap rate we need spot rates . Seems like a egg and hen problem ??

Use bootstrapping technique to derive spot rates from libor rate till 1 yr and swap rates till 30ys . Derive the forward rates from this spot curve

TO me its a purely technical factors than any fundamentals involved. High demand for 10 yr fixed and with short term floating rates at historic lows for extended duration lowers the spread ...This coupled with low demand for such a high supply of treasury brings in the current effect

Hey Mariano , could you give some explanation as to how you derived this ? Also you mean we should interpolate CDS spread to that maturity

Can somebody tell me the formula to be used for adjusting Z spread of a premium/ discounted bond