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- dtrehalose
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10s30s, 2s7s20s, 10y10y, 10y20y, etc...what does this mean?
Hi. I have a newbie question on yield curve trading. I've been reading various papers and come across terminology such as 10s30s, 2s7s20s, 10y10y, 10y20y, etc. I haven't found an explanation of what this means anywhere. Can someone explain?Thanks in advance!
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- Martinghoul
- Posts: 188
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10s30s, 2s7s20s, 10y10y, 10y20y, etc...what does this mean?
10s30s is a spread between 10y and 30y rates.2s7s10s refers to a butterfly; most often, the "gross" one, i.e. an expression 2 * belly - wing1 - wing2. In this specific case, 7y rate is the "belly" of the butterfly.10y10y refers to a point on either the yield curve or the vol grid, which corresponds to a 10y rate in 10y years' time; 10y20y - 20y rate 10y forward.