Donald R. van Deventer First Version: January 24, 2022 This Version: January 25, 2022   ABSTRACT Please note: Kamakura Corporation term structure models are updated monthly.  For the most recent set of coefficients, contact info@kamakuraco.com This paper analyzes the number and the nature of factors driving the movements in the U.S. Treasury yield curve from … Continue reading A 10-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through December 31, 2021