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Forecasting treasury and LIBOR/swap curves simultaneously
I'm looking for references to model treasury and libor/swap curves simultaneously. This is not for pricing, per se, but more of a macro modeling for risk scenarios. Things like Neslon-Siegel and term structure models are all for one curve. I could apply them to treasury, but then what to do with Libor/Swap?Is there a common approach to modeling libor/swap spreads to treasuries?
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- Martinghoul
- Posts: 188
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Forecasting treasury and LIBOR/swap curves simultaneously
Yes, there are some approaches... I think I have posted some old papers on this subject in the past.
Forecasting treasury and LIBOR/swap curves simultaneously
you have almost 3K posts 
can you point to the relevant ones?
can you point to the relevant ones? -
- Martinghoul
- Posts: 188
- Joined:
Forecasting treasury and LIBOR/swap curves simultaneously
Try here (link posted by 'acastaldo'):Spreads