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, 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...
Three Years Post ChatGPT
November 30th marked the three-year anniversary since the public release of ChatGPT. Back then, the S&P 500 stood at 3,950...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, November 28, 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, November 28, 2025: Quantifying the 10-Year Decline in 3-Month Yields
Summary The charts below allow any investor to calculate the probability that 3-month and 10-year Treasury yields are over or...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, November 21, 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, November 21, 2025: 10-Year Over-Under Probabilities for 3-Month and 10-Year Yields
Summary The charts below allow any investor to calculate the probability that 3-month and 10-year Treasury yields are over or...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, November 14, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...