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More from Sapna Desai (7)
Curve trades
- 1. Date 1 Mo 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 7 Yr 10 Yr 20 Yr 30 Yr
07/03/170.96 1.06 1.13 1.24 1.41 1.60 1.93 2.19 2.35 2.65 2.86
07/05/170.97 1.05 1.15 1.24 1.41 1.59 1.92 2.17 2.33 2.63 2.85
07/06/170.95 1.04 1.14 1.23 1.40 1.60 1.94 2.21 2.37 2.68 2.90
07/07/170.94 1.05 1.14 1.22 1.40 1.60 1.95 2.22 2.39 2.71 2.93
07/10/170.95 1.04 1.13 1.23 1.40 1.59 1.93 2.20 2.38 2.70 2.93
07/11/170.97 1.05 1.14 1.20 1.37 1.57 1.92 2.18 2.37 2.69 2.92
07/12/170.94 1.05 1.13 1.21 1.35 1.53 1.88 2.14 2.33 2.65 2.89
07/13/170.95 1.05 1.14 1.23 1.37 1.55 1.89 2.16 2.35 2.69 2.92
07/14/170.93 1.04 1.12 1.22 1.35 1.54 1.87 2.13 2.33 2.67 2.91
07/17/170.95 1.07 1.10 1.22 1.36 1.53 1.86 2.12 2.31 2.65 2.89
07/18/170.95 1.07 1.11 1.19 1.36 1.52 1.82 2.08 2.27 2.61 2.85
07/19/170.99 1.11 1.12 1.23 1.37 1.52 1.83 2.09 2.27 2.61 2.85
07/20/171.00 1.15 1.12 1.22 1.37 1.51 1.82 2.08 2.27 2.60 2.83
07/21/171.00 1.16 1.10 1.22 1.36 1.50 1.81 2.05 2.24 2.57 2.81
CurrentSpreadbetween10yrand 2 yr = 2.24-1.36=88bps