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Strategies & Market Trends : Currencies and the Global Capital Markets
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To: Henry Volquardsen who wrote (736)9/29/1998 11:21:00 PM
From: Michael Friesen  Read Replies (1) of 3536
 
Henry,

Because of the success story of LTC I really want to arb bonds! Thus, I was looking at the Canadian yield curve from the weekend paper. It looks like the 1 and 10 years are yielding about 5% while the 2 year is about 4.8%. Is this enough of a yield spread to construct a butterfly (long the wings and short the middle - is that the right term?). What are the factors that would prevent this from converging into a smoother line?

Thanks
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