Hi there, I have a trading strategy that looks at the relative vlaue of swaps relative to certain key points, eg 7y realtive to 5y 10y. The strategy relies on having a time series of the relative value. My worry is that since 08 swaps are prices using the curve method and so I will not be comparing like with like if I use swaps from pre/post 08? Any thoughts? I'm also concerned that QE may be distorting the curve meaning the market has enterd a new regime? Can anyone think of any other reasons why mixing the data sets might be a bad idea? Or even better put my mind to rest as to why mixing the data sets is OK? Baz
Not exactly, but I was making the implicit assumption that the manipulation was just at the short end? Was it across the whole curve? If not how far did it extend? If so seems there is not much point trying to compare the pre and post 08 curves? Would you agree?
They were fixing the shorting end to affect pnl in their swaps books. I would argue there's effect over the whole curve. It's also unclear what it would be like going forward. IRS has been around for quite a long time prior to 08, so I don't see why there would be enough data. It's hard to get, that's for sure.
Thanks CT10Gov, you've been very helpful. I have one other quick question. Prior to the crises, the benchmark floating rate for usd was 3m Libor and for euros was 6m Euribor? Is this still the same? Or has Eur switched to 3m euribor in light of the credit concerns.
Never traded euribor, so I can't tell you. How are you planning on trading this? I assume you are institutional - can't your execution desk get you the data from their relationships?
No I'm just a student. Its for a PhD thesis. I have traded before for a large investment bank, but sadly even with those connection no one is willing to give me the data :-(
Oh that sucks. When I was doing my phd, I tried to get JPM's EM CDX index data from them. Got a no-way, no-how. Later, when I was trading FI, all I had to do is to hint to my sales guy that I might want to look at it, and a hundred excel books land in my mailbox in a few minutes.... Your best bet is to find a buddy who's still trading in that space and have him ask for it.
Huh? I'm talking about Jpm's index history data for their emerging market Cdx. As in, data only they have because its their index...what does this have to do with 'know what a CDS is'??