Futures Spreading Greeks... Or just term structure greeks?

[cdcaveman]

What is BELLY OF THE CURVE?
The intermediate maturities of the YIELD CURVE, generally considered to include the three to sevenyear sector. See also LONG END, SHORT END.


Got this part... But your saying they exhibit a belly... This describes it as if they all have it


Law Dictionary: What is BELLY OF THE CURVE? definition of BELLY OF THE CURVE (Black's Law Dictionary)

 

[cdcaveman]

Ok so inflection here means a change in the direction of convexity... Or not to get mixed up with that word because of its special meaning with bonds... When a curve goes from being concave to convex PR vice versa

 

[Eurokopek]

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).

 

[cdcaveman]

Belly is the point in centre that responds the highest to the change in the third factor.

Third factor???? belly is the point on the curve that responds to this third factor.. what are you referring to as the third factor?? I should be able to figure this out as it is implied.. seems like in this case ED8

 

[cdcaveman]

for those who are following..This should help as a precursor to what we are talking about

 

[Eurokopek]

Third factor???? belly is the point on the curve that responds to this third factor.. what are you referring to as the third factor?? I should be able to figure this out as it is implied.. seems like in this case ED8

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

 

[cdcaveman]

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

Thanks but that doesn't mean I will know what you are indirectly inferring right away... Sorry... I'm slow

 

[xandman]

I'm just a lurker. But, this is a short 3-part primer anybody following along. It is a CME white paper.

http://www.cmegroup.com/education/curvature-trading.html

As for PCA or any multivariate statistics, it's definitely graduate level stats. I don't even think they teach this in Quant Fin programs. PCA for dummies links is appreciated.

 

[cdcaveman]

it's definitely graduate level stats. I don't even think they teach this in Quant Fin programs. PCA for dummies links is appreciated.

My cousin has taking stat theory 1 and 2, methods 1-3 and hasn't learned about PCA yet...

 

[xandman]

My school catalog says this is a prerequisite to 522 Multivariate Stats.

521 Linear Statistical Inference
4 hours. Estimation and testing in linear models, generalized inverses of matrices, n-dimensional normal distribution, quadratic forms, likelihood ratio tests, best invariant tests, analysis of variance.Prerequisite(s): STAT 411 Statistical Theory

You don't have to learn it all, hopefully, just PCA. Btw, I think I read somewhere that either newurrldmn or sle uses that for analyzing options. I didn't think physicists knew that much stat. Heady stuff.

FYI: 499 class is Master's Thesis Research and 599 is Doctoral Thesis Research. If you want to tackle something easier, we can start a Machine Learning thread. Press on.