Kamakura Interest Rate and Yield Curve Data 

Kamakura Interest Rate Analysis

Kamakura’s management team has long been recognized as pioneers in the field of interest rate risk analytics.  Kamakura’s Managing Director of Research Professor Robert A. Jarrow developed a general no arbitrage framework for interest rate movements in 1992.  Kamakura’s van Deventer and Tejima, writing with David Shimko, published one of the first credit risk models based on a random interest rates framework in 1993.   In 1994, Kamakura’s van Deventer and another Kamakura co-author published the maximum smoothness forward rate approach to yield curve smoothing triggered by a very common phenomenon in fixed income markets around the world: trading can be extremely thin, even in government securities markets, so yield curve smoothing analytics are under intense pressure to both fit observable market data precisely and to be reasonable, which to most market participants means smooth.  Kamakura’s interest rate and yield curve data is provided in the Heath-Jarrow-Morton tradition using maximum smoothness forward rate smoothing. The latest version of Kamakura Risk Manager is used to generate the Kamakura Interest Rate and Yield Curve Data.

Features of the Kamakura Interest Rate and Yield Curve Data:

  • Initially offered for the U.S. Treasury market, with other markets to be added
  • Daily data, available from January 2, 1962, currently more than 13,000 business days of data
  • Transparent, testable, reliable
  • Par coupon bond yield curve at semi-annual intervals to longest maturity offered by the Federal Reserve (currently 30 years)
  • Monthly forward rate data for as much as 30 years forward
  • Monthly zero coupon bond data for as much as 30 years forward
  • Incorporates negative rates across a broad range of countries
  • Fully documented, completely transparent yield  curve smoothing approach already subjected to peer review
“On Demand” Kamakura Interest Rate and Yield Curve Data 

In addition to the standard product offering described above, Kamakura Risk Information Services can provide customized interest rate and yield curve data that meets specific client needs. For more information, contact info@kamakuraco.com.

Kamakura Interest Rate and Yield Curve Data References

For more information on Kamakura Risk Information Services interest rate and yield curve analytics, please contact info@kamakuraco.com and review the following references: