Fixed income relative value (RV) strategies have come a long way since we first started trading them more than 30 years ago. Back then a Treasury bond future was considered a complicated derivative and buying a bond and making delivery into the futures contract was deemed an exotic arbitrage strategy. The market was focused on duration and RV trading was constrained to a few instruments and a narrow set of strategies.
Today, the world of fixed income RV trading is substantially more complex.
The week on Risk.net, December 2–8, 2017Receive this by email