Spline model for relative value analysis of AXJ government bonds; Morgan Stanley

Abstract

In my internship I worked on two different desks in the fixed income division. My first rotation was on the FX research desk, where I worked on a spline model for finding the relative value of Govemment bonds of Morgan Stanley. My second rotation was on the FX Sales desk, where I worked on DeMarks Indicators. The final project I presented at the end of my internship was the work I did on my first rotation on the FX Research desk- on the Spline Curve Model The spline model for AXJ government bonds intends to analyse the relative value of the bonds in terms of their current yield levels. Based on the UK Debt Management Office's model for estimating yield curves, this model can be used as a tool for identifying the·· richness and cheapness of bonds off the yield curve.