• I was wondering if anyone takes into count convexity bias in trading EuroDollar spreads, flys, etc or if that is something that is strictly relevant to the pricing swaps and bonds from the EuroDollae curve? On first thought it seems that it could be relevant when trading certain structures such as 12 month flys, since the value of the bias…[Read more]

  • Thank you very much for taking the time to look at that and providing feedback! I think I have a pretty good handle on it now and thinking about how to lay everything out in an efficient manner. The difference in daily changes between the raw and adjusted data are fractions of basis points:). I am still thinking about different ways to calculate…[Read more]

  • Joesph,

    Thank you for all the help trying to get me to understand how to convert ED data to constant maturity!

    I have to admit I still do not follow your methodology, but from thinking about the problem and the stated goal (remove the effects of time from the data so that all contracts would be valued as if all of the data points had the same…[Read more]

  • So the way to do the interpolation for converting the raw data in column ED-2 is the same as was done ED-1 except for instead of using today’s LIBOR rate, you would use the data point that is the same number of days from expiration as the most recent ED-2 data point from the converted ED-1 data in place of LIBOR? Sorry for being so dense at…[Read more]

  • So if you are using the closing price of ED-1 to interpolate to for converting ED-2, then are you trying to set all of the historical data of ED-2 to 91 old since that is the time difference between ED-1 and ED-2?

  • With regards to something looking rich or cheap based on historicals, would it make sense to somehow change the data sample? I am thinking what if the data that is being used for analysis is instead of the most recent history is data further back in time that would be more similar to where the market is in the fed cycle based on fed fund futures.…[Read more]

  • Thank you for explaining that to me. It’s amazing how difficult something seems until you understand it, then it is so simple.

    Out of curiosity if you wanted to do something more complex than a linear interpolation, what would an example of that be? Would it be using a more complex form of interpolation such as logarithmic, a spline, or something…[Read more]

  • Would it be possible for some one to elaborate a bit more on the procedures that need to be done to create a historical data set of a constant maturity curve?

    I not sure if the goal is to calculate the yields of each of the ED contracts based on 1$ invested today at the stub rate and then reinvested down the curve at today’s rates? Or if you are…[Read more]

  • Just thought I would post this incase anyone wanted some free historical data to play with:


    The data isn’t perfect but it’s free and easy to access.

  • Joesph,

    I have read through this thread (as well as the others) multiple times. I have not had as much time as I would like to sit down and really think about it. I want to attempt building a spreadsheet of the constant maturity curve (I enjoy excel), but I do have some questions. If my questions are a result of me not thinking enough about what…[Read more]

  • Thank you for all of the replays. I do find some satisfaction to know I wasn’t the only one that got hurt on that. Thanks for that color ABC67.

    With regards to my analysis I was trading CBOT treasury spreads (TUF and FYT) against EuroDollar spreads and just trying to leg in and out of them. I did weight the 5 yr leg of it a bit heavier because…[Read more]

  • Thank you for the response.

    To add a few more details on the trade, the majority of the position was in ED-9 and the dates were from the end of October to the end of Nobember 2013. When I regressed the position against the 4 and 5 year swap spreads they fit very close. That led me to draw the conclusion that the “problem” was how directional swap…[Read more]

  • Since EuroDollars are a rather complex futures contract, I sometimes make or lose money and I don’t know exactly why. So my question is about a trade from about this time last year (long 5yr futures, short greens (Z15 to U16)). This particular trade I let get away from me and I really got burned on it. Greens just kept looking more and more…[Read more]