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.