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 with Professor David Heath and Andrew Morton (“HJM”).  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:

  • Data bases and HJM term structure model parameters available for 13 countries with more coming soon.
  • Australia, Canada, France, Germany, Italy, Japan, Russia, Singapore, Spain, Sweden, Thailand, United States and United Kingdom statistics are available now.
  • Daily data is available from January 2, 1962, more than 14,000 business days of data
  • Transparent, testable, reliable with detailed Technical Guides and model validation co-authored by Prof. Jarrow and Dr. van Deventer
  • Zero coupon bond yields and prices plus par coupon bond yield curve data for every single calendar maturity date to the longest maturity offered by the relevant central bank.
  • Forward rate data with any periodicity offered for any desired series of calendar dates
  • Zero coupon bond price and yield data for any desired series of calendar dates
  • The data base includes a very large number of traded negative rates across a broad range of countries
  • Fully documented, completely transparent yield  curve smoothing approach already subjected to peer review and certified by Prof. Jarrow as consistent with no arbitrage and the Heath, Jarrow and Morton framework
“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.

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

Kamakura Interest Rate and Yield Curve Data References Available Upon Request