Overview

Fixed-income markets have shifting yield curves of various shapes, which makes the hedging process more difficult and creates arbitrage opportunities at the same time. Yield curve arbitrage can be thought of as taking a series of long and short positions at different points along the curve.

BitaVal delivers Rates Trader one of the market’s most complete package for Butterfly and Bond Curve trading analytics for Hedge Funds and Bond Traders seeking to hedge interest rates risk and boost returns through the use of advanced arbitrage trading techniques.

Rates Trader provides advanced modelling tools which includes a robust PCA framework to generate, in addition to yield pick-up and convexity gain, effective and more profitable Butterfly and Bond Curves strategies.

Government bond arbitrage is an important trading strategy for many bond traders as the changing shape of the yield curve can give rise to PnL opportunities. However, analysing how to position for a view that the yield curve will steepen, flatten or twist has often ignored some of the drivers of profit and loss in these trades. Rates Trader examines the concepts involved in yield curve trading and introduce a thorough analysis framework that fully accounts for trading costs, carry and roll down, convexity and relevant systematic market risks.