Research
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 14, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, August 14, 2026: Probability of 3-Month Bill Yield Over 4% in One Year Drops 4% to 31%
Summary The most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range this week. The probability of...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 7, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, August 7, 2026: Probability of 3-Month Bill Yield Over 4% in One Year Drops 19% to 35%
Summary The most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range this week. The probability of...
SAS Weekly Treasury Simulation, July 31, 2026: 54% Probability of 3-Month Bill Yield Over 4% in One Year
Summary The most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range this week. The probability of...
Update to Regional Credit Risk Analysis
Two months ago, we examined the impact of the Iran war on corporate credit risk forecasts around the world. The analysis showed...
SAS Weekly Treasury Simulation, July 24, 2026: 53% Probability of 3-Month Bill Yield Over 4% in One Year
Summary The most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range this week. The probability of...
SAS Weekly Treasury Simulation, July 17, 2026: 42% Probability of 3-Month Bill Yield Over 4% in One Year
Summary The most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range this week. The probability of...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, July 10, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, July 10, 2026: 50% Probability of 3-Month Bill Yields Over 4% in Early 2027
Summary The most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range this week. The probability of...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, July 2, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, July 2, 2026: Probability of Higher 3-Month T-bill Rates Jumps in First Half of 2027
Summary The most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range this week. The probability of...