eurodollar and TED

Discussion in 'Financial Futures' started by goyalamit1984, Jun 16, 2014.

  1. 1) Pay 5y rates outright (pay fixed rate on a swap, expecting rates to go up)
    2) This is a steepener, where you recv fixed on a 2y swap vs paying fixed on a 5y swap, same DV01, expecting the difference between the two rates to go up.
    3) This a cross currency spread trade, where you pay fixed on a 2y swap 3y fwd in GBP and recv fixed on the same fwd, same DV01 swap in EUR; expecting the rate difference to go up, again.
    4) This is what's known a bull steepener (aka conditional steepener) trade, where you trade a set of two swaption (receivers) with the same expiry; it's zero cost because the amt you pay to buy the first recvr is offset by the amt you get for selling the 2nd recvr.
     
    #21     Jul 14, 2014
    spread'em likes this.