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status | not read | reprioritisations | ||
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started reading on | finished reading on |

status | not read | reprioritisations | ||
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last reprioritisation on | reading queue position [%] | |||

started reading on | finished reading on |

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

A dealer expecting the yield curve to twist anti-clockwise sells a shorter-dated FRA and buys a longer-dated FRA.

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

A dealer expecting the yield curve to twist anti-clockwise sells a shorter-dated FRA and buys a longer-dated FRA.

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

Therefore a buyer of a FRA will profit if the interest rate rises

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

Therefore a buyer of a FRA will profit if the interest rate rises

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

Therefore a buyer of a FRA will profit if the interest rate rises

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

In the case of sterling futures, both the last trading day and the LIBOR fixing used for settlement are the third Wednesday of the delivery month.

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

In the case of sterling futures, both the last trading day and the LIBOR fixing used for settlement are the third Wednesday of the delivery month.

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

In the case of sterling futures, both the last trading day and the LIBOR fixing used for settlement are the third Wednesday of the delivery month.

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

In practice therefore, the FRA rate for a period coinciding with a futures contract would be (100 - futures price).

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

perhaps it's because there are no persons in our heads to make us do the things ws want -nor even ones to make us want to want-that we construct the myth that we're inside ourselves

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

Trading in a STIR contract generally finishes at the time when the reference rate against which it is settled at expiry - such as LIBOR - is fixed. For contracts settled against a reference rate with spot value (such as EURIBOR or CHF LIBOR), this is two working days before the third Wednesday.

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

Trading in a STIR contract generally finishes at the time when the reference rate against which it is settled at expiry - such as LIBOR - is fixed. For contracts settled against a reference rate with spot value (such as EURIBOR or CHF LIBOR), this is two working days before the third Wednesday.

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

in a STIR contract generally finishes at the time when the reference rate against which it is settled at expiry - such as LIBOR - is fixed. For contracts settled against a reference rate with spot value (such as EURIBOR or CHF LIBOR), this is <span>two working days before the third Wednesday.<span><body><html>

status | not read | reprioritisations | ||
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last reprioritisation on | reading queue position [%] | |||

started reading on | finished reading on |

status | not read | reprioritisations | ||
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last reprioritisation on | reading queue position [%] | |||

started reading on | finished reading on |

status | not read | reprioritisations | ||
---|---|---|---|---|

last reprioritisation on | reading queue position [%] | |||

started reading on | finished reading on |

status | not read | reprioritisations | ||
---|---|---|---|---|

last reprioritisation on | reading queue position [%] | |||

started reading on | finished reading on |

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
---|---|---|---|---|---|---|---|

repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

Consider the multiplicative model X t = m t × s t × W t .Let Y t denote the time series of logarithms: Y t =log X t .Then Y t =log X t Y t = log(m t × s t × W t ) Y t = log m t +log s t +log W t .

status | not read | reprioritisations | ||
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last reprioritisation on | reading queue position [%] | |||

started reading on | finished reading on |

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

if a multiplicative model is appropriate for the time series X t , then an additive model is appropriate for the time series of logarithms, Y t =log X t .

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
---|---|---|---|---|---|---|---|

repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

if a multiplicative model is appropriate for the time series X t , then an additive model is appropriate for the time series of logarithms, Y t =log X t .

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
---|---|---|---|---|---|---|---|

repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

if a multiplicative model is appropriate for the time series X t , then an additive model is appropriate for the time series of logarithms, Y t =log X t .

status | not read | reprioritisations | ||
---|---|---|---|---|

last reprioritisation on | reading queue position [%] | |||

started reading on | finished reading on |

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
---|---|---|---|---|---|---|---|

repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

by taking logarithms, a time series for which a multiplicative model is appropriate can be transformed into a time series for which an additive model is appropriate.

status | not read | reprioritisations | ||
---|---|---|---|---|

last reprioritisation on | reading queue position [%] | |||

started reading on | finished reading on |

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
---|---|---|---|---|---|---|---|

repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

Transformations of time series that are commonly used include the power transformations: Y t = X t a , where a = ... 1/4, 1/3, 2, 3, 4, ....

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
---|---|---|---|---|---|---|---|

repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

Transformations of time series that are commonly used include the power transformations: Y t = X t a , where a = ... 1/4, 1/3, 2, 3, 4, ....

status | not read | reprioritisations | ||
---|---|---|---|---|

last reprioritisation on | reading queue position [%] | |||

started reading on | finished reading on |

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
---|---|---|---|---|---|---|---|

repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

A simple moving average (or just a moving average) of order (or span) 11 can be written as Y t = 111(X t−5 + ···+ X t + ···+ X t+5 )

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
---|---|---|---|---|---|---|---|

repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

A simple moving average (or just a moving average) of order (or span) 11 can be written as Y t = 111(X t−5 + ···+ X t + ···+ X t+5 )

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
---|---|---|---|---|---|---|---|

repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

A simple moving average (or just a moving average) of order (or span) 11 can be written as Y t = 111(X t−5 + ···+ X t + ···+ X t+5 )

status | not read | reprioritisations | ||
---|---|---|---|---|

last reprioritisation on | reading queue position [%] | |||

started reading on | finished reading on |

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
---|---|---|---|---|---|---|---|

repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

For the purpose of smoothing time series, only moving averages for which the order is an odd number will be used. These are said to be centred on the middle value.

status | not read | reprioritisations | ||
---|---|---|---|---|

last reprioritisation on | reading queue position [%] | |||

started reading on | finished reading on |

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
---|---|---|---|---|---|---|---|

repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

With a suitable degree of smoothing — that is, with a suitable choice of the order of the moving average — the moving average provides an estimate of the trend component m t ; this is denoted mt^