So would anyone know what traders use to build their short term (1 year and < ) 3mo CAD BA vs USD Libor Basis Swap curve?

My bad, I should have clarified the question. I was referring to the 3mo CAD BA vs. USD Libor Basis Swap curve. I was actually looking for sources so that I can verify the traders' curves. On BBG, CADT2 displays only from 1YR out but nothing for the short term, i.e. 1mo to 1yr.

Would anybody know what instruments do traders use to construct a short term Canadian yield curve up to one year? Are there Bloomberg or Reuters pages available that describe that information?Thanks,Nick

why are you pricing it a series or basket of 30 spread calls if it's a monthly option? Why not price it as monthly spread option with monthly forward prices for power and gas?

<t>I remember that article by Blanco. As the first PC explained more than 90% of the movement of the futures gas curve (at least for the NYMEX contract), I am still trying to determine the importance of calculating PCs for each individual monthly buckets. It may, however, be a good alternative for e...

<t>I have mainly relied on Jon Frye's Principals of Risk and some of Borovkova's work (both attached).Isn't seasonality change reflected in the volatility curves? If yes, then the seasonal premia used in de-seasonalising the forward curve would account for that. In this manner the seasonality is cal...

I'm thinking about it but am not too sure yet whether seasonal correlations would increase accuracy a great deal...I DO need to take a closer look though. As far as vols, power implied vols for ERCOT and NEPOOL are extremely hard to come by. For NYMEX gas of course that's quite easy.

I use a HJM with PCA (to reduce the dimensionality of the correlation matrix) to model NG futures prices. I've tried it with power curves and it works well but the price history first requires some de-seasonalizing.

have you tried his website?http://www.rotman.utoronto.ca/%7Ehull/

<r>just wanted to point you to this link...not quite related to fwd vol for commodities but it's a start:<URL url="http://www.wilmott.com/messageview.cfm?catid=19&threadid=4339&FTVAR_MSGDBTABLE=&STARTPAGE=1"><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... TARTPAGE=1">http://...

If someone has the paper "Principles of Principal Components" by Baygun, Showers and Cherpelis (courtesy of Salomon Smith Barney) and could upload it here, it would be greatly appreciated.Thanks!

macca I would appreciate a copy as well at nikolasp@yahoo.com.mutley, thank you for posting your spreadsheet.

<t>Last thing first - I would return the report and politely ask the authors to go back to the drawing board. And this time, they should include a complete description of the methodology used to vet the model in question as per your description.In my previous life up north my vetting reports include...

<t>Greetings from Boston Mr. D.Well, probably a bit of both. For instance, one could devise a Monte Carlo procedure to value path-dependent options by simulating the asset price over the specified time horizon, calculate the average payoffs over the number of simulations and calculate the price of t...