Donald R. van Deventer July 8, 2025 Abstract The size of the term premium embedded in the current U.S. Treasury yield curve has...
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HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, July 3, 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 3, 2025: Most Likely Level for 3-Month Bill Rate in Ten Years Steady at the 1% to 2% Range
Summary The most likely range for 3-month bill yields is the 1% to 2% range, unchanged from last week. The probability of being...
From Integration to Separation: Risks and Opportunities from U.S.- China Decoupling
NEW YORK July 1, 2025: The history of U.S.-China trade in some ways mirrors the history of China itself: periods of stability...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, June 27, 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, June 27, 2025: Most Likely Level for 3-Month Bill Rate in Ten Years Up One Percent to 1% to 2% Range
Summary The most likely range for 3-month bill yields is the 1% to 2% range, up one percent from last week from last week. The...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, June 20, 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, June 20, 2025: Peak in One-Month Forward Rates Up 0.14% to 6.16%
Summary The most likely range for 3-month bill yields is the 0% to 1% range, unchanged from last week. Treasury 2-year yields...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, June 13, 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, June 13, 2025: Most Likely Range for Three-Month Bill Rate in 10 Years Drops One Percent
Summary The most likely range for 3-month bill yields is the 0% to 1% range, down from the 1% to 2% range last week. Treasury...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, June 6, 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, 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%...