A quant trading model for swap spreads

I recently wrote quite a long post on swap spreads (click here to see that post), covering¬†some general intuition about swap spreads: what does a swap spread represent, why does it move, when does it move, which direction does it go, etc. My blog stats show that a lot of people have read it, so … Continue reading A quant trading model for swap spreads

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Facts, rules of thumb, and intuition for swap spreads

The N-year swap spread is defined as: N-yr swap spread := N-yr swap rate - N-yr government bond yield. Since most quants spend much less time on the bond market than on the swaps market, ¬†they often don't come to appreciate the central importance of the swap spread. Here is an unordered list of why … Continue reading Facts, rules of thumb, and intuition for swap spreads