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...