Serving the Quantitative Finance Community
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- nparaschos
- Posts: 2
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Canadian Yield Curve within one year
Would anybody know what instruments do traders use to construct a short term Canadian yield curve up to one year? Are there Bloomberg or Reuters pages available that describe that information?Thanks,Nick
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- Martinghoul
- Posts: 188
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Canadian Yield Curve within one year
It's very similar to the other curves: depos, followed by futures (BAs), followed by swaps...You can look at how BBG does it using ICVS and selecting CAD.
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- nparaschos
- Posts: 2
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Canadian Yield Curve within one year
My bad, I should have clarified the question. I was referring to the 3mo CAD BA vs. USD Libor Basis Swap curve. I was actually looking for sources so that I can verify the traders' curves. On BBG, CADT2 displays only from 1YR out but nothing for the short term, i.e. 1mo to 1yr.
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- nparaschos
- Posts: 2
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Canadian Yield Curve within one year
So would anyone know what traders use to build their short term (1 year and < ) 3mo CAD BA vs USD Libor Basis Swap curve?