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, June 6, 2025: Peak in One-Month Forward Rates Drops 0.29%
Summary The most likely range for 3-month bill yields is again the 1% to 2% range, now 45 basis points more likely than the 0%...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, May 30, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
Market Disturbances or Just Increased Volatility
NEW YORK June 2, 2025: On a flight home last week, since the seat pitch made it impossible to type on a laptop, I watched the...
SAS Weekly Treasury Simulation, May 30, 2025: Most Likely Range for 10-Year Yield in 2035 Is 2% to 3%
Summary The most likely range for 3-month bill yields is again the 1% to 2% range, just 22 basis points more likely than the 0%...
SAS Weekly Bund Yield and Euro Simulation, May 23, 2025: Median Scenario for the Euro at 1.1121 One Year Forward
Summary The 2-year/10-year Bund spread closed the week at a positive 0.802%, a change from 0.7385% last week. As a result,...
SAS Weekly Japanese Government Bond and Yen Simulation, May 23, 2025: One-month Forward Bill Rate Jumps 1.61% to 6.35% at 30 Years
Summary The median level for the yen-U.S. dollar exchange rate is 148.09 one year from now, compared to 151.10 last week,...
SAS Weekly Australian Dollar and Government Bond Yield Simulation, May 23, 2025: Median FX Rate Scenario 0.6456 One Year Forward
Summary One-month forward Australian Government Bond rates peaked at 5.40% this week, compared to 5.48% the previous week. The...
SAS Weekly Treasury Simulation, May 23, 2025: One-month Forward Rate Peak Up 0.18% to 6.23%
Summary The most likely range for 3-month bill yields is again the 1% to 2% range, just 20 basis points more likely than the 0%...
SAS Weekly Swedish Krona and Government Bond Yield Simulation, May 16, 2025: Median Scenario One Year Forward for the Swedish Krona is 10.34
Summary One-month forward Swedish Government Bond rates peaked at 2.75% this week, compared to 2.73% the previous week. The...
SAS Weekly Bund Yield and Euro Simulation, May 16, 2025: Median Scenario for the Euro at 1.0958 One Year Forward
Summary The 2-year/10-year Bund spread closed the week at a positive 0.7385%, a change from 0.769% last week. As a result,...
SAS Weekly Japanese Government Bond and Yen Simulation, May 16, 2025: Median Scenario for the Yen One Year Forward is 151.10
Summary The median level for the yen-U.S. dollar exchange rate is 151.10 one year from now, compared to 150.16 last week,...