US bank’s Libor transition head wants ‘simple’ way to calculate compound rates for any given period
Experts from Crédit Agricole’s rates team explain how use of a forward euro fixing can bring positive carry and improve coupons
Previous bets on US interest rate curve flopped following unexpected flattening
Artificial neural networks can replace PCA for yield curves analysis
The goal of this paper is to explain and improve the offshore oil storage trade observed in a contango market using a forward dynamic optimization strategy. The strategy is developed using trades in forward contracts and contrasted with the literature.
Verification and model challenges arise as volatility and margins dry up
An overview of effective methods for constructing long-term LNG forward price curves
Term structure of interest rates explained with a credit model