Категория: Quant

Note: We enclose a spreadsheet on Nelson-Siegel and Svensson curve fitting to this part of the topic. Constructing a yield curve is a 2 step process. The first step in most cases is fairly easy and straightforward as it deals with selecting the appropriate bonds. For example, if we are looking at a highly developed […]

Relative value analysis (RVA) is an important subject for the debt market, as it allows comparing different FI and MM instruments (bonds, CDS, swaps, etc.) with one another and making respective trading decisions. In this series of articles you will find the description of its purpose and application. Why is this value analysis called “relative”? […]