Can I read Butterfly Arbitrage in Swap Trading on EtoBox?
Butterfly Arbitrage in Swap Trading by xylitol.wang37 is a document available to read on EtoBox.
What is Butterfly Arbitrage in Swap Trading about?
The document discusses a butterfly arbitrage strategy involving swaps T1, T2, and T3, where the trader pays T1 and T3 while receiving T2 due to a mispricing in T2. It explains how to express nominal amounts of each swap based on given variables and highlights the importance of duration and convexity in the trade. The strategy aims to profit from changes in interest rates and the convexity of the swaps involved, particularly as the maturity of swap 1 approaches.
- Author
- xylitol.wang37
- Language
- EN