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Canadian Yield Curve within one year
Posted: October 4th, 2010, 2:52 pm
by nparaschos
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
Canadian Yield Curve within one year
Posted: October 4th, 2010, 3:01 pm
by Martinghoul
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.
Canadian Yield Curve within one year
Posted: October 4th, 2010, 7:46 pm
by nparaschos
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.
Canadian Yield Curve within one year
Posted: October 5th, 2010, 7:39 pm
by nparaschos
So would anyone know what traders use to build their short term (1 year and < ) 3mo CAD BA vs USD Libor Basis Swap curve?