I am looking at taking a role as a prop trader/PM with RCG (Rosenthal Collins Group) in Chicago. They do a bit of Yield curve trading among other things, so I thought maybe I could liven the data up a bit.
The typical yield curve looks boring and doesn't show relationships over time or the whole yield matrix.
Being interested in getting a feel for the data means understanding all the US swaps spreads. So I put them into excel and created a nice scrollable matrix.
But hey even that isn't fully helpful and discovering anomalies in data (which is fun for me) means getting a feel for the relationships. So I ended up with something like this video.
Trading the curve still means ferreting out the anomalies, but I have already found some things in currency swaps. I am hopeful the US Mambo will yield some alpha (insert bad pun groan). One caveat, the data matrix didn't have data for the full duration, for example 7 yr. issuance is fairly new etc., and the curves aren't interpolating the null data. This is more for fun than information value. The flattening of the curve and then the spread gaps are interesting to watch from 05-09.
If you want the yield curve mambo get it here from on the Godsdog album from De Phazz
If you are an educator you may use a simple video editing program to illustrate the flattening of 2005 and the risk expansion during the crisis. Here is the Raw AVI file for editing and educational purposes. Enjoy.Download Testfilm3 (50MB).
