Liquidity Measures for Interest rate swaps and caps

papatheo · August 24th, 2007, 9:41 am

Hi, I am looking for papers which discuss liquidity measure for interest rate derivatives such as caps, swaps etc. I guess bid-ask spreads, trading volume ... should be good measures for liquidutyAny idea? ThanksV

Kommakul · September 24th, 2007, 9:22 am

HiDid you come over any good references?I am interested in the same issue.More specifically in the context of determining a suitable (time varying) calibration sample of caps and swaptions for interest rate models.Christian