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Thursday, January 16, 2014

always annualiz - Vol, Libor, Yield, ...

Yield – is essential for relative value analysis between bonds, as mentioned in another post in this blog. Therefore it has to be annualized.

Vol – is often used for comparing 2 securities or 2 stochastic processes. Therefore it has to be annualized.

Libor -- is an interest rate. An interest rate always gets annualized whether the tenor is 1D or 30Y.