Yield curve arbitrage, what is it and how does it work!!!!

Discussion in 'Educational Resources' started by FT79, Jun 29, 2005.

  1. FT79



    Can somebody explain to me how yield curve arbitrage works, or post an URL where yield curve arbitrage is explained because I don’t know exactly what it is.

    Thanx in advance
  2. FredBloggs

    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.
  3. Ebo


  4. 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....