w********r
发帖数: 253 | 1 【 以下文字转载自 Quant 讨论区 】
发信人: whatsummer (不理猫@St Trinians), 信区: Quant
标 题: brokered CD curve and swaption curve (help help!!!!!!!!!!!!!!!)
发信站: BBS 未名空间站 (Thu Jan 26 13:46:57 2012, 美东)
The spread between brokered CD and swaption rates
1. is there mean reversion pattern?
2. how does brokered CD respond to the baseline rates?
3. what do the response lags look like under different rate levels
Is there any previous research on this? any clue on which direction/key
words to start with? |
|
