The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
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SAS Weekly Treasury Simulation, January 16, 2026: Most Likely Range for 3-Month T-Bill Rate 10 Years Forward Unchanged at 1% to 2%
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, January 9, 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, January 9, 2026: 50,000 No-Arbitrage Heath Jarrow and Morton Yield Scenarios
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, January 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, January 2, 2026: Measuring the Term Premium in U.S. Treasuries
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, December 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, December 26, 2025: Yield Level Probabilities from 6 Months to 10 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...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, December 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, December 12, 2025: Peak in 1-Month Treasury Bill Forwards Up to 6.25%
Summary Despite the Fed’s rate cut, the most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, December 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, December 5, 2025: Peak in 1-Month Treasury Bill Forwards Up to 6.06%
Summary The charts below allow any investor to calculate the probability that 3-month and 10-year Treasury yields are over or...