Rates Trading Quant Stuff & PCA Unleashed Paper Credit Suisse
Hey - I'm a junior rates trader at the moment. I am looking for anything that could help me with the quantitative side of rates trading (I'm on the buyside), been using regressions at work when to modelling up potential trades but I was wondering if there was anything macro related, product related (swaps, basis, forwards, rates), quant related (PCA unleashed paper which I can't seem to find anywhere) that anyone could recommend/guide me towards. It would be much appreciated.
bump
https://github.com/cleeclee123/Curvy-CUSIPs/tree/main/research
the PCA note is somewhere in here
This is a phenomenal collection of resources - thank you
appreciate it - thank you for your help!
heres the cs pca note:
https://github.com/cleeclee123/Curvy-CUSIPs/blob/main/research/PCA%20Un…
you sir are a saint. thank you.
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