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]]>i used he downloading link for PCA xls but the link do”t work. can you send me another?
thank you
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]]>I think that the -3/+5/-10 PCA Fly it is just calculated with the PCA performed in the last period and using today’s weights and keeping them unchanged for the backdating fly spread evolution.
The logic I find behind this, is that the PCA ponderation is the strategy that “bets” for the average curvature movement, and that average is defined today, hoping that tomorrows behaviour of the curve is similar to that one period.
Btw, I can´t replicate that graph, I think I am missing how the yield pick-up / fly is calculated.
Thanks! 🙂
Raul
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]]>Thank you so much for these posts! I am finding them so useful!
I would like to know how you´ve built the -3/+5/-10 PCA Fly. I´ve tried several ways but can´t get that same graph (nor uncorrelations).
Could you (or anyone) give me an explanation or clue?
Thanks 🙂
Raúl
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