EFTA Document EFTA01386036

16 October 2017 Special Report: Argentina • Position for the upturn dated forward rates as shown below. The first is simply to concatenate the short end LEBACs and longer end BOTEs. The second is to fit a spline curve first as a parametric representation of the two curves, then adjust it (effectively shifting up the BOTEs) so that the overlapping data points (at March 2018 tenor) between the two curve match. These are inputs to price the floaters. A peek into monetary policy path Forw