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djquackkquackk
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Joined: November 22nd, 2010, 1:12 am

Using regressions to find illiquid points

November 23rd, 2010, 11:05 am

I have to use the liquid points on the curve as well as historical data to be able to find the illiquid points. I've been using forecast in excel, but was wondering if there are any other ways to do this more accurately. thank you.
 
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Gmike2000
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Joined: September 25th, 2003, 9:49 pm

Using regressions to find illiquid points

November 25th, 2010, 10:21 pm

Disclaimer: I am not a quant and so others have to answer your question in more precise terms.But here is how I would solve the problem. You go to the swaps trader and ask him. 2s 5s 10s are uber-liquid as they have corresponding futures. Also if you are an important enough client, there is always liquidity in anything you want.
 
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djquackkquackk
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Using regressions to find illiquid points

December 2nd, 2010, 4:03 pm

thank you for the replyMy question though is that I have the daily closes of each of the rates, 2-30 year. I also have access to reuters where I can get a reletively accurate swap rate on the liquid points. I was told I can use regressions on ALL the historical points and the current liquid points to figure out the CURRENT illiquid points.
 
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Gmike2000
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Using regressions to find illiquid points

December 2nd, 2010, 8:55 pm

Sounds like PCA? Is that what you are looking for?