I finished a spreadsheet for calculating historical correlations on forward curves. It gives the correlation matrix for contracts going out an arbritary number of months out. I think it might be a handy tool for some of you. You may get that on O:\RESEARCH\CUSTOM\CORRELMATRIX\ It demands that you have access to our EGSPROD32 database. You must have that configured in your ODBC. It is a large spreadsheet, so it may take some computing resorces. Let me know if you find any problem. Thanks.
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Historical Correlation Calculator