PCA weighted butterfly trade

marketJunk · February 23rd, 2011, 3:43 pm

Hello experts, Can anyone list the steps for calculation PCA weighted butterfly trades. I have already calculated the PC1, PC2 and PC3.What would be the next steps for calculating the weights for the butterfly trade ?Any document listing the process would be great.Thanks.

Martinghoul · February 23rd, 2011, 5:36 pm

What mkt is this in?

marketJunk · February 23rd, 2011, 5:41 pm

developing

Martinghoul · February 23rd, 2011, 8:44 pm

Sorry, I meant what asset class?

EndOfTheWorld · February 24th, 2011, 6:14 am

What is the list of asset classes this method is used for? I know that it's widely used with IRS, Bonds. I'd be surprised with equity vol as spreads are not tight enough. anything else?thanks

marketJunk · February 24th, 2011, 12:35 pm

I am looking for IRS

Martinghoul · February 24th, 2011, 4:44 pm

Send me a PM with your email address and I'll send you smth.

thedoc · February 25th, 2011, 1:14 pm

I'm also interested in this if anyone has any info on it.

Martinghoul · February 26th, 2011, 12:56 pm

QuoteOriginally posted by: thedocI'm also interested in this if anyone has any info on it.Well, you know what to do then ?

bucket · May 30th, 2011, 5:05 am

if nybdy got the document, kindly do let me know. i want to have the PCA document.

Samsaveel · May 30th, 2011, 9:22 am

i am also ,also interested in the PCA document.

Martinghoul · May 30th, 2011, 10:18 am

Well, y'all know what to do then, right?

xpac · September 17th, 2011, 3:16 pm

Hi I am interested in any doc you may have that outlines PCA component determination mechanics and application to butterfly trading. I really appreciate your guidance.thanks

Martinghoul · September 18th, 2011, 8:42 am

Well, you also know what to do, right?