Sentences with phrase «maturity swap curve»
The new fund will use what are called constant maturity swap curve caps to bet on both a steepening of the US yield curve and an increase in curve volatility.
https://www.themacrotourist.com/ Not exact matches
As an investment actuary, I've had to develop models of the full maturity / credit yield curve — maturities from 3 months to 30 years (usually about 10 points) and credit from Treasuries, Agencies and Swaps to Corporates, AAA to Single - B.
The graph plotting swap rates across available maturities became known as the swap curve.