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Yield curve arbitrage, what is it and how does it work!!!!
- Thread starter FT79
- Start date
such questions are probably better asked at:Quote from FT79:
Hi,
Can somebody explain to me how yield curve arbitrage works, or post an URL where yield curve arbitrage is explained because I donât know exactly what it is.
Thanx in advance
http://www.wilmott.com
There is a reference to YCA in the answers to the "What is Stat Arb" question in the Q&A forum:
http://www.wilmott.com/messageview.cfm?catid=3&threadid=13135&FTVAR_MSGDBTABLE=
FredBloggs
Guest
www.bondheads.com could help
you could either be looking at price anomalies across the yield curve in the various futures (probably easier - options too if you wanna get complexxxx)
eurodollar spread trades, NOB's (notes over bonds), TED's etc - look at the cbot web site for info on these.
generally tend to be longer term in duration.
i may also be totally off the mark here.
you could either be looking at price anomalies across the yield curve in the various futures (probably easier - options too if you wanna get complexxxx)
eurodollar spread trades, NOB's (notes over bonds), TED's etc - look at the cbot web site for info on these.
generally tend to be longer term in duration.
i may also be totally off the mark here.
just like most trading strategies which are labled with the same misused term, yc "arbitrage" is just taking a bet on what the shape of the term structure of interest rates is going to do. by term structure i simply mean the differential between the rates of any set of maturities the bond/swap market. there is no true "free money" or "arbitrage", this strategy is just a form of expressing a view on the future rate differential between interest rates of different maturities....