Kamakura Interest Rate and Yield Curve Data

Kamakura Interest Rate Analysis
Kamakura’s management team has long been recognized as pioneers in the field of interest rate risk analytics.  Kamakura’s Managing Director of Research  Professor Robert A. Jarrow developed a general no arbitrage framework for interest rate movements in 1992.  Kamakura’s van Deventer and Tejima, writing with David Shimko,  published one of the first credit risk models based on a random interest rates framework in 1993.   In 1994, Kamakura’s van Deventer and another Kamakura co-author published the maximum smoothness forward rate approach to yield curve smoothing triggered by a very common phenomenon in fixed income markets around the world: trading can be extremely thin, even in government securities markets, so yield curve smoothing analytics are under intense pressure to both fit observable market data precisely and to be reasonable, which to most market participants means smooth.  Kamakura’s interest rate and yield curve data is provided in the Heath-Jarrow-Morton tradition using maximum smoothness forward rate smoothing. The latest version of Kamakura Risk Manager is used to generate the Kamakura Interest Rate and Yield Curve Data.

Features of the Kamakura Interest Rate and Yield Curve Data:

  • Initially offered for the U.S. Treasury market, with other markets to be added
  • Daily data, available from January 2, 1962, currently more than 13,000 business days of data
  • Transparent, testable, reliable
  • Par coupon bond yield curve at semi-annual intervals to longest maturity offered by the Federal Reserve (currently 30 years)
  • Monthly forward rate data for as much as 30 years forward
  • Monthly zero coupon bond data for as much as 30 years forward
  • Fully documented, completely transparent yield  curve smoothing approach already subjected to peer review

“On Demand” Kamakura Interest Rate and Yield Curve Data
In addition to the standard product offering described above, Kamakura Risk Information Services can provide customized interest rate and yield curve data that meets specific client needs. For more information, contact info@kamakuraco.com.

Kamakura Interest Rate and Yield Curve Data References
For more information on Kamakura Risk Information Services interest rate and yield curve analytics, please contact info@kamakuraco.com and review the following references:

Kamakura Interest Rate and Yield Curve Data References
Note: References are listed chronologically

Books

Uyemura, Dennis G. and Donald R. van Deventer, 1992.  Financial Risk Management in Banking: The Theory and Application of Asset and Liability Management, Probus Publishing, Chicago. Translated into Polish by Zwiazek Bankow Polskich, 1997.

Jarrow, Robert A. Modelling Fixed Income Securities and Interest Rate Options,1996, McGraw-Hill Book Company. 
Second edition, 2002, Stanford University Press.
Translated into Japanese, 1997, Japan UNI Agency, Inc., Tokyo.
Translated into Korean, 1997, Bob Mun Sa Publishing Co.

van Deventer, Donald R. and Kenji Imai, Financial Risk Analytics: A Term Structure Model Approach for Banking, Insurance, and Investment Management, Irwin Professional Publishing, Chicago, 1997.

van Deventer, Donald R., Kenji Imai, and Mark Mesler, Advanced Financial Risk Management, John Wiley & Sons, 2004. Translated into modern Chinese and published by China Renmin University Press, Beijing, 2007. A second edition is forthcoming in 2012.

Other Publications

Jarrow, Robert A. "Liquidity Premiums and the Expectations Hypothesis," Journal of Banking and Finance, 5 (December 1981). 

Jarrow, Robert A.  "The Pricing of Commodity Options with Stochastic Interest Rates," Advances in Futures and Options Research, 2 (1987). 

Heath, David, Robert A. Jarrow, and Andrew Morton. "Contingent Claims Valuation with a Random Evolution of Interest Rates," The Review of Futures Markets, 9 (1), (1990). 

Shimko, David C., Naohiko Tejima, and Donald R. van Deventer.  "The Pricing of Risky Debt when Interest Rates are Stochastic," Journal of Fixed Income, September, 1993, pp. 58-66.

Adams, Kenneth J. and Donald R. van Deventer.  "Fitting Yield Curves and Forward Rate Curves with Maximum Smoothness.”  Journal of Fixed Income, June 1994.

Heath, David, Robert A. Jarrow, and Andrew Morton. "Bond Pricing and the Term Structure of Interest Rates:  A Discrete Time Approximation," Journal of Financial and Quantitative Analysis, (December 1990). 

Heath, David, Robert A. Jarrow, and Andrew Morton. "Bond Pricing and the Term Structure of Interest Rates:  A New Methodology for Contingent Claims Valuation," Econometrica, 60(1), (January 1992) (with David Heath and Andrew Morton). 
Reprinted in Vasicek and Beyond, 1997, Risk Publications:  London. 
Reprinted in Options Markets, ed. G.M. Constantinides and A.G. Malliaris, 1999, Edward Elgar Pub., U.K.
Reprinted in The Debt Market, ed. Steve Ross and Franco Modigliani, 1999, Edward Elgar Pub., UK.
Reprinted in The New Interest Rate Models, ed. Lane Hughston, 2000, Risk Books:  London.
Reprinted in Derivatives Pricing:  The Classic Collection, ed. Peter Carr, 2004, Risk Books:  London.

Heath, David, Robert A. Jarrow, Andrew Morton and  Mark Spindel. Jarrow, Robert A.  "Easier Done Than Said," Risk Magazine, 5 (9), (October 1992). 
Reprinted in Over the Rainbow:  Developments in Exotic Options and Complex Swaps, 1995, Risk Publications:  London.

Jarrow, Robert A. "Pricing Interest Rate Options," Jarrow, Maksimoviz, Ziemba, editors, Finance:  Handbook in Operations Research and Management Science, North Holland, (1995).

Jarrow, Robert A and Dilip Madan. "Option Pricing Using the Term Structure of Interest Rates to Hedge Systematic Discontinuities in Asset Returns," Mathematical Finance, 5 (4), (October 1995).

van Deventer, Donald R. “Simulating the Term Structure of Interest Rates—How Many Factors are Necessary?” Kamakura blog, www.kamakuraco.com, July 7, 2009.  Redistributed on www.riskcenter.com on July 8, 2009.

Klein, Sean and Donald R. van Deventer, “Yield Curve Smoothing: Nelson-Siegel versus Spline Technologies, Part 1,” Kamakura blog, www.kamakuraco.com, July 21, 2009.  Redistributed on www.riskcenter.com on July 23, 2009.

Klein, Sean and Donald R. van Deventer, “Yield Curve Smoothing: Nelson-Siegel versus Spline Technologies, Part 2," Kamakura blog, www.kamakuraco.com, August 14, 2009. Redistributed on www.riskcenter.com on August 17, 2009.

Klein, Sean and Donald R. van Deventer, “Yield Curve Smoothing: Nelson-Siegel versus Spline Technologies, Part 3" Kamakura blog, www.kamakuraco.com, August 17, 2009.  Redistributed on www.riskcenter.com on August 18, 2009.

Klein, Sean and Donald R. van Deventer, “Yield Curve Smoothing: Nelson-Siegel versus Spline Technologies, Part 4” Kamakura blog, www.kamakuraco.com, August 18, 2009.  Redistributed on www.riskcenter.com on August 19, 2009.

van Deventer, Donald R. “Yield Curve Smoothing: Nelson-Siegel versus Spline Technologies, Part 5,” Kamakura blog, www.kamakuraco.com, September 8, 2009.  Redistributed on www.riskcenter.com on September 9, 2009.

van Deventer, Donald R. “Basic Building Blocks of Yield Curve Smoothing, Part 1,” Kamakura blog, www.kamakuraco.com, November 2, 2009.  Redistributed on www.riskcenter.com on November 16, 2009.

van Deventer, Donald R. “Basic Building Blocks of Yield Curve Smoothing, Part 2: A Menu of Alternatives,” Kamakura blog, www.kamakuraco.com, November 10, 2009.  Redistributed on www.riskcenter.com on November 17, 2009.

van Deventer, Donald R. “Basic Building Blocks of Yield Curve Smoothing, Part 3: Stepwise Constant Yields and Forwards versus Nelson-Siegel,” Kamakura blog, www.kamakuraco.com, November 18, 2009.  Redistributed on www.riskcenter.com on November 23, 2009.

van Deventer, Donald R. “Basic Building Blocks of Yield Curve Smoothing, Part 4: Linear Yields and Forwards versus Nelson-Siegel,” Kamakura blog, www.kamakuraco.com, November 20, 2009. Redistributed on www.riskcenter.com on November 24, 2009.

van Deventer, Donald R. “Basic Building Blocks of Yield Curve Smoothing, Part 5: Linear Forward Rates and Related Yields versus Nelson-Siegel,” Kamakura blog, www.kamakuraco.com, November 30, 2009. Redistributed on www.riskcenter.com on December 2, 2009.

van Deventer, Donald R. “Basic Building Blocks of Yield Curve Smoothing, Part 6: Quadratic Yield Splines and Related Forwards versus Nelson-Siegel,” Kamakura blog, www.kamakuraco.com, December 3, 2009.  Redistributed on www.riskcenter.com on December 7, 2009.

van Deventer, Donald R. “Basic Building Blocks of Yield Curve Smoothing, Part 7: Quadratic Forward Rate Splines and Related Yields versus Nelson-Siegel,” Kamakura blog, www.kamakuraco.com, December 8, 2009.  Redistributed on www.riskcenter.com on December 14, 2009.

van Deventer, Donald R. “Basic Building Blocks of Yield Curve Smoothing, Part 8: Cubic Yield Splines and Related Forwards versus Nelson-Siegel,” Kamakura blog, www.kamakuraco.com, December 10, 2009. Redistributed on www.riskcenter.com on December 16, 2009.

van Deventer, Donald R. “Basic Building Blocks of Yield Curve Smoothing, Part 9: Cubic Forward Rate Splines and Related Yields versus Nelson-Siegel,” Kamakura blog, www.kamakuraco.com, December 30, 2009.  Redistributed on www.riskcenter.com on January 4, 2010.

van Deventer, Donald R. “Basic Building Blocks of Yield Curve Smoothing, Part 10: Maximum Smoothness Forward Rates and Related Yields versus Nelson-Siegel,” Kamakura blog, www.kamakuraco.com, January 5, 2010.  Redistributed on www.riskcenter.com on January 7, 2010.

van Deventer, Donald R. “Basic Building Blocks of Yield Curve Smoothing, Part 11: The Shimko Test for Measuring Accuracy of Smoothing Techniques,” Kamakura blog, www.kamakuraco.com, January 13, 2010. Redistributed on www.riskcenter.com on January 19, 2010.

van Deventer, Donald R. “Basic Building Blocks of Yield Curve Smoothing, Part 12: Smoothing with Bond Prices as Inputs,” Kamakura blog, www.kamakuraco.com, January 20, 2010. Redistributed on www.riskcenter.com on January 21, 2010.

van Deventer, Donald R. “Basic Building Blocks of Yield Curve Smoothing, Part 13: Smoothing Credit Spreads,” Kamakura blog, www.kamakuraco.com, April 7, 2010. Redistributed on www.riskcenter.com, April 14, 2010.

Dickler, Daniel T. and Donald R. van Deventer, “Inside the Kamakura Book of Yields: An Analysis of 50 Years of Daily U.S. Treasury Forward Rates,” Kamakura blog, www.kamakuraco.com, September 13, 2011.

Dickler, Daniel T., Robert A. Jarrow and Donald R. van Deventer, "Inside the Kamakura Book of Yields, Volume II: A Pictorial History of 50 Years of U.S. Treasury Zero Coupon Bond Yields," Kamakura Corporation memorandum, September 26, 2011.

 Resources
    
 Video Resources

Interest Rate Risk Video: 50 Years of Par Coupon Bond Yields, narrated by Dr. Donald R. van Deventer, founder of Kamakura Corporation

Interest Rate Risk Video: 50 Years of Zero Coupon Bond Yields, narrated by Dr. Donald R. van Deventer, founder of Kamakura Corporation

Interest Rate Risk Video: 50 Years of Forward Rate Movements, narrated by Dr. Donald R. van Deventer, founder of Kamakura Corporation