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why does it matter so much? Iirc the 30y bond has average tail or average stop-through around 1.5bps, which really is a fraction of daily vol, a third of a standard deviation?

http://en.protothema.gr/top-syriza-mps-in-line-outside-greek-parliaments-atm/ now that's funny.

Going into options would probably make everything even more complicated lol.

Not sure I follow, xandman. Just re-read my OP, obviously the signs should be reversed.

Say I think 10y UK gilts yield too low compared with 10y UST but worried about movements in the 5y yields. My horizon is a few months. I could try replicating that trade with: - long 6 five-year t-notes - short 1 ten-year t-note - short 1 t-bond - long 3 long gilts - short some 10 contracts...

If 37 wrongdoings are the only government screw ups over more than 5-10 years among over 4 million employees, government should be praised. Too bad, it's not in any way systematic or statistically interesting. Traveling circus has escaped the politics sub-forum.

they could give everyone 1.66

Long ASX200 doesn't look good at all to me. I looked at DAX/FTSE/S&P returns during the ECB/BOE/Fed rate hikes/cuts in the 2004-2014 period; stocks were more likely to close lower the next day after the cut than the last close before the meeting date. This month ASX200 came down only 2.5% from...

Well, is being a slacker and a deadbeat much worse than writing a 2 page article that doesn't answer the real question: is participation rate declining in the 25-65 age group? More thinking and less writing is sometimes helpful.

So, Ukraine has received the first $5 billion tranche from the $17.5b IMF deal. The whole loan package that includes loans from other entities is assessed at $40b. Yet, monsignor Poroshenko WANTS MOAR. It seems to me this is outright extortion. Their 2013 and 2014 budget deficits were 63 and 67...

I'm not sure about the tremendous value of understanding PCA inside out - do you want to calculate it manually? Common sense is sufficient to apply it.

Curvature. I thought you were supplied with the materials on this already. I will pm you.

Inflection point divides the curve into 2 parts, where yields go in opposite direction as the factor (steepness) changes. Belly is the point in centre that responds the highest to the change in the third factor. I attached the pngs to give a better picture of this (pun intended).

investing.com is probably the closest to what you need. Not sure you can chart the indices on there but they have free bond yield data - not sure if it's exportable but you can manually copypaste into excel if you desire so. For macro data just use the primary sources, e.g. BLS, ONS, eurostat, etc.

Principal components are by construction uncorrelated in the period analyzed as a whole, but we also have the rule of thumb that extremely steep curves are followed by reduction in the level of interest rates. How do I intuitively reconcile those contradictions? For 2 to 30y swaps I get 2nd...

Inflation is back to what levels? Core inflation has been trending down from around 1.3% in mid 2011 to 0.9% in Jan 15. Why are you also assuming EZ inflation will follow Germany? Why would dollar rise against EUR if US inflation is above Eurozone? Interestingly, year on year core inflation in...

So GDP is down YoY for the third quarter, all three quarters had real consumption fall of more than 2%. VAT hike seems like a really dumb idea to me. What's the purpose? Budget balancing? VAT is a lip service to balancing the budget. Increasing the prices? You can as well start rationing the...

I think there is a good chance EZ will yield to the Greeks again - some sort of compromise closer to the Greek demands - a promise of close to zero primary budget surplus. The money has been already lent - and the 7b of new inflows required are too small a fraction of existing loans to...

I never found it available for free on the internet. It doesn't have intraday data iirc.

Well, the previous one still hasn't found a new job.. and the one before stayed with RT despite the beef she had with them.