Serving the Quantitative Finance Community
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- frattyquant
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Swap Carry
Does anyone have something like a "Drivers of Swap Carry Doc"? Our realized carry seems to get attributed in a pretty weird and uneven way from day to day, and I'd like to get a sense of what's causing this. Thanks!
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- mellisacat
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Swap Carry
Check the set up of your Libor curve... interporation, compounding, etc. double check how you bootstrap the rates...
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- frattyquant
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Swap Carry
QuoteOriginally posted by: mellisacatCheck the set up of your Libor curve... interporation, compounding, etc. double check how you bootstrap the rates...I'm pretty sure all this is correct. What I want it understand is how carry varies with up or down moves in the curve, how its is affected by flattening/steepening, and the impact for recievers vs payers.
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- frattyquant
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Swap Carry
QuoteOriginally posted by: rmaxSwap Carry DiscussionStill a bit basic, but thanks!
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- mellisacat
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Swap Carry
That's what I meant. If your Libor curve is derived from a complex model; usually an iterative adjustment of curves to minimizes the differences between theoritical and realized prices of interest derivatives, rather than a simple statistical spline smoothing; you should be able to creat your "steepening/flattening" scenarios within the system which builts the curve with all sorts of interest instruments loaded. One system I used before is called SUMMIT. I believe you could do the same in POLYPATH.