Thursday, January 12, 2012

Great link on swap spread

http://fermatslastspreadsheet.wordpress.com/2012/01/11/facts-intuition-and-rules-of-thumb-for-swap-spreads/

Not just introduces the concept but also discusses how to put it in credit/rates trading context.
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1 comment:

  1. AnonymousJanuary 13, 2012 at 3:18 AM

    Thanks for the link to my blog FermatsLastSpreadsheet.

    Like what you have been doing on yours too!

    ReplyDelete

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