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Normalizing Term Structure

Posted by: Andreas Clenow in Uncategorized September 4, 2015 1 Comment 3,621 Views

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Robert Lewkovich
June 6, 2016 at 17:50

Hello Andreas,
I enjoyed reading your articles on normalizing term structure and have a question.

How would/could your normalization technique be applied, if at all, if one was analyzing a spread be it inter or intra market?
Would one normalize the term structure on both side of the spread subtract them and use the difference as the analysis metric?

Thanks,
Robert

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Normalizing Term Structure

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