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Quantitative Finance · Glossário

O que é Curve trade?

Definition 21.1 Strategies I: Equities and Futures · Capítulo 21 — Calendar Spreads and Curve Trades

A curve trade is a position in two or more deliveries of the same futures contract (or points of a yield or volatility curve) whose weights cancel exposure to the curve’s level, so that its P&L comes from changes in the curve’s shape: a calendar spread for the slope between two deliveries, a butterfly for the curvature among three.

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