Blogs
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, October 17, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, October 17, 2025: Ten Year Range for the 3-Month Bill Yield 0% to 2%
Summary The most likely range for 3-month bill yields in 10 years remained in the 0% to 1% range this week. The probability of...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, October 10, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, October 10, 2025: Measuring the Impact of the China Rare Earth Love Letter
Summary Treasury yields dropped more in response to a letter from China than they did in reaction to Jerome Powell’s too-late...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, October 3, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, October 3, 2025: 0% to 2% Range Most Likely for 3-Month Bill Rate in 10 Years
Summary The most likely range for 3-month bill yields in 10 years moved back to the 1% to 2% range this week. The probability of...
Non-conventional Fed actions lowered default risk in the short-term—but what’s coming next?
NEW YORK October 1, 2025: The U.S. markets have become conditioned to seeing the Federal Reserve step in whenever negative...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 26, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, September 26, 2025: Most Likely Level for 3-Month Bill Rate in 10 Years Reverts to the 0% to 1% Range
Summary The most likely range for 3-month bill yields in 10 years edged into the 0% to 1% range this week. The probability of...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 19, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, September 19, 2025: Fed Rate Changes are the Tail, Not the Dog
Summary This week’s Treasury yield simulation showed little change from last week, confirming the view of many market...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 12, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...