By Donald van Deventer on
8/6/2010 12:16 PM
Today’s forecast for U.S. Treasury yields is based on the August 5, 2010 constant maturity Treasury yields reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release reported at 4:15 pm August 6, 2010. The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com
Read More »
|
By Donald van Deventer on
8/2/2010 9:47 AM
Today’s forecast for U.S. Treasury yields is based on the July 29, 2010 constant maturity Treasury yields reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release reported at 4:15 pm July 30, 2010. The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.
Read More »
|
By Donald van Deventer on
7/23/2010 11:30 AM
Today’s forecast for U.S. Treasury yields is based on the July 22, 2010 constant maturity Treasury yields reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release reported at 4:15 pm July 23, 2010. The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.
Read More »
|
By Donald van Deventer on
7/21/2010 3:38 PM
One of the most interesting set of cultural differences I have come across in finance is the difference between investment managers and bankers. One could write 100 books and 2 million jokes about those differences, but this blog has a more modest ambition: to show how to improve fixed income performance attribution in both investment management and in banking by combining best practice from both types of institutions. This blog is an introduction to that topic.
Read More »
|
By Donald van Deventer on
7/16/2010 11:53 AM
Today’s forecast for U.S. Treasury yields is based on the July 15, 2010 constant maturity Treasury yields reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release reported at 4:15 pm July 16, 2010. The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.
Read More »
|