The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the most important paper in financial economics in the last 50 years.” The Center for Applied Quantitative Finance provides the risk-neutral and empirical risk-free interest rates for government bond markets when the government is among the least risky of 183 sovereigns according to the KRIS® default probability service and when those markets have a large amount of bonds outstanding. The CAQF team, under the direction of Professor Robert Jarrow and Dr. Donald R. van Deventer, combines these forward-looking Monte Carlo yield simulations with the no-arbitrage foreign exchange rate model of Amin and Jarrow [1992] to generate both risk-neutral and empirical foreign exchange rates. Using a 14-country “World” interest rate database with more than 110,000 observations, the CAQF team has derived a 12-factor World HJM parameter set of stochastic volatility functions and foreign exchange rate dynamics.
A summary simulation description and summary distributions for 3-month yields and 10-year yields are available for key markets in Asia (Australia, Japan, New Zealand, Singapore, and Thailand), North America (Canada and the United States) and Europe (Germany, Sweden, and the United Kingdom). Full simulation output is available via the KRIS risk data service. Links to this week’s results are given below:
Scenarios: 100,000
Time step length: 91 days
Time Horizon: 10 to 30 years
Australian Government Securities Yields and Australian Dollar Exchange Rates
PDF Simulation Summary: Australia May 30, 2025
Excel 3-Month Bill Distribution: SASaus3m20250530
Excel 5-Year Bond Yields: SASaus5y20250530
Japanese Government Bond Yields and Yen Exchange Rates
PDF Simulation Summary: Japan May 30, 2025
Excel 3-Month Bill Distribution: SASdistributionJGB3m20250530
Excel 10-Year Bond Yields: SASdistributionJGB10y20250530
New Zealand Treasury Yields and New Zealand Dollar Exchange Rates
PDF Simulation Summary: New Zealand May 30, 2025
Excel 3-Month Bill Distribution: SASNZL3m20250530
Excel 5-Year Bond Yields: SASNZL5y20250530
German Bund Yields and Euro Exchange Rates
PDF Simulation Summary: Germany May 30, 2025
Excel 3-Month Bill Distribution: SASDEU3m20250530
Excel 10-Year Bond Yields: SASDEU10y20250530
Swedish Government Bond Yields and Swedish Krona Exchange Rates
PDF Simulation Summary: Sweden May 30, 2025
Excel 3-Month Bill Distribution: SASswe3m20250530
Excel 5-Year Bond Yields: SASswe5y20250530
United Kingdom Gilt Yields and Pound Exchange Rates
PDF Simulation Summary: United Kingdom May 30, 2025
Excel 3-Month Bill Distribution: SAS3monthGilt20250530
Excel 10-Year Bond Yields: SAS10yearGilt20250530
United States Treasury Bond Yields
PDF Simulation Summary: USA May 30, 2025
Excel 3-Month Bill Distribution: SAS3monthUST20250530
Excel 10-Year Bond Yields: SAS10yearUST20250530
