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jimmymott
Topic Author
Posts: 1
Joined: September 4th, 2013, 10:31 am

PCA interest rate swap butterflies

September 4th, 2013, 11:36 am

Hi Guys,

My goal is to be able to screen PCA weighted IRS trades based on a few criteria. What I am interested in knowing is the following -

1) How do we find out the PCA weights of a fly trade? (Document outlining steps would be great)..When I apply PCA on the US swap curve, I get the eigenvalues and eigenvectors. Do I have to use these eigenvectors to determine the weights of the fly or do I have to run the PCA only on the three legs of the fly for the weights?
2) What do we mean by "PCA weighted" or "PCA neutral" interest rate swap butterflies?

Thanks in advance.
 
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Martinghoul
Posts: 3220
Joined: July 18th, 2006, 5:49 am

PCA interest rate swap butterflies

September 4th, 2013, 4:18 pm

PM me your email address and I'll send you a doc that might help.
 
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IRhunter
Posts: 42
Joined: October 26th, 2011, 4:07 pm

PCA interest rate swap butterflies

October 23rd, 2014, 6:50 pm

Hello Martinghoul, could you pls email me that doc also

Thank you so much.
 
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andyPHUONG
Posts: 2
Joined: October 3rd, 2012, 8:52 pm

Re: PCA interest rate swap butterflies

December 7th, 2017, 4:13 pm

Hi Martinghoul, could you pls email me that doc as well. Thanks.
 
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Martinghoul
Posts: 3220
Joined: July 18th, 2006, 5:49 am

Re: PCA interest rate swap butterflies

December 8th, 2017, 10:40 am

PM me your email address...
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