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I run a book with dozens of trades expressed through CMS spread options, z-c and YoY inflation caps and floors, as well as mid-curve swaptions and contingent cross-asset options (the stuff that is commonly traded by exotics desks). That's in addition to multitudes of vanilla rates vol...

FRED is you friend: http://research.stlouisfed.org/fred2/

Define "long-term" in number of days/month/years. Did USDJPY at 76 "perfectly" reflect the long-term health of the Japanese economy? Why is 121 now a more accurate reflection of the long-term than the 76 a few years earlier? Since you're clearly so on top of all the analyses and statistics...

It's a monumentally stupid idea, which was put into motion and pushed aggressively by Mr Tanigaki and couldn't be completely withdrawn (these are the realities of Japanese politics). It's a great relief that Abe stopped the next tranche.

Let me say it again, for the last time... Liquid rates vol desks which trade vanilla vol products like caps/floors/swaptions do not report to the same immediate boss as the structured notes/exo people. And yes, they all eventually report to some head of rates, but let's pls not talk abt these...

Yes, the factors are supposed to be uncorrelated, indeed... I would say that there is no contradiction. Normally curves are steep when short-dated rates fall (that might not be true any more). Your "level" principal component (the first one) doesn't necessarily correspond to the short rate...

I have apologized for the instance where I misread your statement. I talk to Barclays mkt makers (vanilla rates as well as exo) every day. They make me prices for all the products you mention. You're wrong.

I deal with all of these today, every single bloody day. The mkt-makers who trade vanilla rates vol products are not part of exotics, period.

What facts did I get wrong? I misinterpreted a part of your post, I apologized. Where is the "fact" in that? You stated something that is factually incorrect. Long-term, a currency's relative strength and all the other things you've mentioned are not determined solely by the mkt pricing of...

1) You are correct, I didn't read your response attentively enough. I thought you said that 95% of people on NucPhy are worthless and I got a little angry. I apologise. 2) No, liquid rates vol products market-making is not part of the exotic rates groups at any of the dealers you mentioned.

Huh? There you go passive/agggressive on me again... Firstly, what does the current USDJPY price action have to do with the discussion we've been having? I mean that's just so totally off piste, I dunno quite what to say... What questions of yours have I not answered? Or does that count as...

"Beware", not "before"... 1) I am on NucPhy. I know a lot of the people who post there personally, so I can vouch for them. Some of them I deal with directly (they provide me liquidity). Others (quite a few) are on the buyside, working for well-known shops. Moreover, I have known them for...

Very well, if you say so... It's all the same skull... Moreover, I don't "try to cite people". I am citing Richard Koo, who is relatively well-known and is recognised pretty universally as somewhat of an expert on the Japanese experience. If you can find other people/sources who can offer a...

Bullsh1t, both of these paragraphs...

Well, it could potentially tell you, for any given contract, whether it is rich/cheap vs a "PCA-fitted" strip. Among other things...

You just need a wee bit of really easy VBA, methinks...

Not really... These aren't macro models and will tell you nothing about the Fed.

Nobody knows what will happen...

Well, I dunno if you've read anything that's been written about the Japanese bubble, but there are quite a few people who suggest that things would have been much much worse, if it weren't for the fiscal programs and expansionary monetary policy. There is some evidence for this provided, for...

I think bail-ins are great and healthy... Moreover, they are not "new news", so to speak. Denmark did the original, shocking one in 2011 with Amagerbanken. There have been ongoing discussions about these in 2013 in other places, e.g. New Zealand. The subsequent random bullsh1t conclusions...