• Hi Jo,

    I’m looking at some historical data and I’m curious as to your interpretation. Attached are graphs for 6 and 12 mo flys from two dates – 12/13/2005 and 5/10/2006 (data is non turn adjusted and non interpolated). There was a rate hike on both days. The market seems to be pricing the next hike, but then immediate cuts and a relatively flat…[Read more]

  • Hi Jo,

    I’m looking a some historical data and I’m curious as to your interpretation. Attached are graphs for 6 and 12 mo flys from two dates – 12/13/2005 and 5/10/2006 (data is non turn adjusted and non interpolated). There was a rate hike on both days. The market seems to be pricing the next hike, but then immediate cuts and a relatively flat…[Read more]

  • Milan replied to the topic Data Set Methodology in the forum Main Forum 5 years, 1 month ago

    Joseph, thanks for all your great input on the matter. After following your advise and the information from some of the other participants in this thread i think i got the hang of it and i’m almost done with my file. A few questions, though. You mentioned you use 0.65 for the next few turns. What do you use for z8 z9 z0? Also, how do we find how…[Read more]