A credit curve trade buys protection at one maturity and sells it at another on the same issuer or index, in amounts that offset their spread durations, betting on the slope of the credit curve rather than its level.
Quantitative Finance · शब्दावली
Quantitative Finance · शब्दावली
A credit curve trade buys protection at one maturity and sells it at another on the same issuer or index, in amounts that offset their spread durations, betting on the slope of the credit curve rather than its level.