NEW YORK August 1, 2025: As the dog days of summer drag on in the Northern Hemisphere, the dynamics of government debt and...
CONNECT ME
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...
SAS Weekly Treasury Simulation, July 11, 2025: Peak in One-Month Forward Treasuries Jumps 0.18% to 6.11%
Summary The most likely range for 3-month bill yields is the 1% to 2% range, unchanged from last week. The probability of being...
How Well Do U.S. Treasury Yields Forecast Inflation? An Update Through June 30, 2025
Donald R. van Deventer July 8, 2025 Abstract The size of the term premium embedded in the current U.S. Treasury yield curve has...
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...