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Normalizing Term Structure

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One comment

  1. Robert Lewkovich

    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?


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