Research
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, May 22, 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, May 22, 2026: Probability of Inverted Yield Curve Over 20% by 2028
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, May 15, 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, May 15, 2026: 3-Month Bill Rate Rises Briefly Then Declines to 1% to 2% Range
Summary After a short-term rise, the most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range this...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, May 8, 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, May 8, 2026: 50,000 Scenarios that Perfectly Price Today’s Treasuries for Any Holding Period
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, May 1, 2026
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, May 1, 2026...
SAS Weekly Treasury Simulation, May 1, 2026: Peak in 1-Month Forward Rates at 6.16%
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...
Global Credit Risk After the Iran War Shock
This month we take a global look at the impact of the Iran war on corporate credit risk via analysis of median probability of...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, April 24, 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, April 24, 2026: Most Likely Range for 10-Year Treasury 2% to 3% in Ten Years
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...
Iran Shock Meets a Frozen Labor Market
The Iran-war energy shock arrived at a fragile moment in the U.S. labor market. It was not because layoffs were surging, but...