Forward curve
New tools needed for bespoke SOFR trades – Wells Fargo
US bank’s Libor transition head wants ‘simple’ way to calculate compound rates for any given period
Fixing floaters: how the 10y10y rate can save FRNs
Experts from Crédit Agricole’s rates team explain how use of a forward euro fixing can bring positive carry and improve coupons
Hedge funds turn to curve options for steepener trades
Previous bets on US interest rate curve flopped following unexpected flattening
Curve dynamics with artificial neural networks
Artificial neural networks can replace PCA for yield curves analysis
A forward dynamic optimization strategy under contango storage arbitrage with frictions
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.
Falling margins force energy firms to expand data use
Verification and model challenges arise as volatility and margins dry up
Quant ideas: Building a better LNG forward curve
An overview of effective methods for constructing long-term LNG forward price curves
Credit goes to forward rate spreads
Term structure of interest rates explained with a credit model