• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Fixed income methodoloy

Hey guys! I´m from Argentina and i´ve got a question about the adjustemnts in the covariances matrix for this methods.

¿What are the best approch to expressing the covariance matrix in basis points with high inflation economies? I mean, if i´ve got a yield series ¿can i only apply absolute changes for the returns? Or, ¿maybe, i have to took the log returns and then transform the covariance matrix in basis points?

Thank you so much!

Lautaro Pintos