intermarket carry trade
For intermarket carry trade, we implement receive fixed/pay floating in the steeper market and pay fixed/receive floating in the flatter market.
But why we do not receive fixed/pay floating in both the steeper market and flatter market as long as the yield curve is still upward sloping for the flatter market? I think, in this way, we can earn higher return because in both market we can invest at higher yield and borrow at lower yield.
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