Take a look at the Move Index. It is the weighted average of vols on 2s, 5s, 10s and 30s.

<t>Hi,I am looking at doing a PCA weighted butterfly trade. I understand the rationale and risks associated with the trade vs a 50%/50% butterfly. I would appreciate if anyone could give me some research on calculating the weights using PCA (am familiar with PCA as well). I could take the weights di...

<t>Good discussion in Risk between Head of Euro swaps from Barclays and RBS on this issue. They make two interesting points (among others)1) Ok really for par swaps but when you start pricing the likes of 5y5y fwd GBP IRS you get discrepancies in the price based on whether you go for standard discou...

I would recommend reading "Stabilizing an Unstable Economy" by Minsky.

<t>Couple of trades I am looking at - would be interested in any thoughts?Pay belly of 2/3/5 IRS in USD - Fed a good deal away from hikes but does look to be getting to levels which are a touch extreme. Few members getting uncomfortable with "extended period" language. Cheap enough to run and does a...

Id be happy to discuss what I am running - fixed income for me. I agree with the sub categories idea.

thanks Martinghoul....

i am buying the cash bond in the asw - buying the bond and paying on the swap - matched maturity. I haven't repo'd the bond yet (sell and buy back in sweden) for internal reasons here, but my colleague has the 1046 in asw and this is repo'd at -0.05. Nice!

<t>Swap spread wideners were a fairly consensus trade (not for me) so one would have to take into a/c the effect of traders stopping out of these positions as this trade apprached zero ie if you are in the widener, you are long the bond and paid on the swap therefore to stop out you are doing the op...

<t>I think an important one to look at when looking at eurusd is the front eurodollar. Jul 2008, when the cross moved from 1.60 down to circa 1.25, the front eurodollar sold off approx 100 ticks in the same period. This was a period where no one expected the fed to be hiking. Instead we had lehmans ...

http://www.voxeu.com/index.php?q=node/3551:What do you guys think of this suggestion? Would the US feel too constrained if such a programme were demanded? i'm not sure it is even feasible given the relative size of both markets?

<t>Yes It was a bit crazy yesterday morning...not only in england! Sep 10 fra in sweden got up to 2.10....even though the riksbank have said they won't be raising rates until q1 2011! The whole thing wasn't very enjoyable!! I'm finding it hard to buy this green shoots theory. i reckon we get a big b...

<t>Hi folks....Any thoughts on the MPC tomorrow? More QE? Will they signal keeping rates low through 2010/start 2011 ala RBNZ, BOC and Riksbank? Or as in one forecast i read this morning....1% by autumn and 2% winter 09/10? Are 10yr gilts the way to go given the good auction this morning or would yo...

<t>Yes it definitely seems to be one for the lawyers...The area of interest for me is in taking cases to ICSID (International Centre for Settlement of Investment Disputes - Part of the World Bank). This is an arbitration process which is used frequently by Corporates who have a dispute regarding an ...

<t>In the event of default, how is a Sovereign CDS settled. I suppose my question relates specifically to the estimation of the recovery rate. For cash settlement purposes, how would you calculate the recovery rate on a sovereign bond. I was reading Ephraim Clark's article from Wilmott magazine, whe...