Blogs
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...
SAS Weekly Treasury Simulation, September 12, 2025: 44% Probability 3-Month Bill Rate in 10 Years is in 0% to 2% Range
Summary The most likely range for 3-month bill yields in 10 years remained in the 0% to 1% range. The probability of being in...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 5, 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 5, 2025: Most Likely Range for 3-Month Bill Rate in 10 Years Drops to 0% to 1% Range
Summary The most likely range for 3-month bill yields in 10 years edged down to the 0% to 1% range, down from 1% to 2% last...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 29, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
Tariffs: Learning from History to Chart a Path to the Future
NEW YORK September 2, 2025: Successful investing is the art of filtering out noise so that you can focus on signals leading to...
SAS Weekly Treasury Simulation, August 29, 2025: Steady Rate Cuts Ahead
Summary The most likely range for 3-month bill yields falls to the 1% to 2% range within 30 months according to this week’s...