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...
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HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 15, 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, August 15, 2025: Most Likely 3-month T-bill Yield Falls to 1% to 2% Range Within 30 Months
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...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 8, 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, August 8, 2025: Measuring the Default Risk of Going Long and Borrowing Short
Summary The most likely range for 3-month bill yields is the 1% to 2% range, unchanged from last week. The probability of being...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 1, 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, August 1, 2025: Peak in One-Month Forward Treasuries Drops 0.06% to 5.91%
Summary The most likely range for 3-month bill yields is the 1% to 2% range, unchanged from last week. The probability of being...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, July 25, 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, July 25, 2025: Peak in One-Month Forward Treasuries Drops 0.24% to 5.97%
Summary The most likely range for 3-month bill yields is the 1% to 2% range, unchanged from last week. The probability of being...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, July 18, 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, July 18, 2025: Peak in One-Month Forward Treasuries Up 0.10% to 6.21%
Summary The most likely range for 3-month bill yields is the 1% to 2% range, unchanged from last week. The probability of being...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, July 11, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...