Just trying to get a handle on this methodology.
So if I wanted to convert data for ED2 (Mar15) to constant maturity would I still use Libor as my first point or would I use the closing price of ED1 (Dec 14) in order to linearly interpolate? If it is the latter can you explain how the number of days between dec 14 and Mar 15 IMM…[Read more]
Says here BG will be responsible for £8million at Janus. Not a lot of eurodollars going to be bought with that amount! “Ex-Pimco boss Bill Gross ‘exuberant’ at leaving management” http://www.bbc.co.uk/news/business-29495997