SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
quanteric
Topic Author
Posts: 79
Joined: June 4th, 2010, 12:01 am

Brazilian yield curve

June 26th, 2012, 4:39 am

Hi, I am wondering if you are able to help me out with a question on the Brazilian yield curve....I understand that it is built fro DI futures. Starting from the coming 4 months, and then the Jan, Apr, Jul, Oct cycles.So, if yoday is 26/06/2012, then I will be using Jul12, Aug12, Sep12, Oct12, Jan13, Ap13, Jul13, Oct13, Jan14, ......, etc. However, I see from Bloomberg's configuration that for year 2019, only the Jan futures is used. And then after that we use Jan20, Jul20, Oct20, Jan21, and then every January contracts then after. I am wndering if there is a reason for the change in pattern from Janaury 2019? Is it simply a matter of convention and liquidity? Thanks...
 
User avatar
cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

Brazilian yield curve

June 26th, 2012, 7:58 am

there are only one contract for 2019; 3 for 2020 (jan, jul, oct) and from 2021 to 2025 only the january contract
 
User avatar
MCarreira
Posts: 1724
Joined: July 14th, 2002, 3:00 am

Brazilian yield curve

June 26th, 2012, 11:46 am

The standard maturity dates for contracts are:1. The 1st business day of the next 4 months2. Then the 1st business day of each quarterFor longer dates, the exchange will not open all the series automatically; typically we'll start with the Jan contracts; intermediate (Jul, Apr, Oct) will follow as requested by market participantsJan is usually the most liquid, then Jul
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On