MCCS Dataset

The dataset used in this paper is a collection of Mid-Curve Calendar Spread (MCCS) trades, ranging from September 2006 to September 2016, with different expirations, forward and swap tenures.

Data and Resources

Cite this as

Adriano Soares Koshiyama, Nick Firoozye, Philip Treleaven (2024). Dataset: MCCS Dataset. https://doi.org/10.57702/dzt94xqe

DOI retrieved: December 2, 2024

Additional Info

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Created December 2, 2024
Last update December 2, 2024
Author Adriano Soares Koshiyama
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Nick Firoozye
Philip Treleaven
Homepage https://arxiv.org/abs/1805.07445