Summary One-month forward Gilt rates peaked at 6.25% this week, compared to 6.18% the previous week. The 2-year/10-year United...
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SAS Weekly U.K. Gilt Yield and Pound Sterling Simulation, January 3, 2025: One-month Forward Gilt Rate Peak 6.18%
Summary One-month forward Gilt rates peak at 6.18% this week, compared to 6.02% the previous week. The 2-year/10-year United...
SAS Weekly U.K. Gilt Yield and Pound Sterling Simulation, December 13, 2024: A Diversion from Inversion
Summary One-month forward Gilt rates peak at 5.95% this week, compared to 5.88% the previous week. The 2-year/10-year United...
SAS Weekly U.K. Gilt Yield and Pound Sterling Simulation, December 6, 2024: 2.1 Basis Points from Inverted Yields
Summary One-month forward Gilt rates peak at 5.88% this week, compared to 5.67% the previous week. The 2-year/10-year United...
SAS Weekly U.K. Gilt Yield and Pound Sterling Simulation, November 29, 2024: 1.7 Basis Points from Inverted Yields
Summary One month forward Gilt rates peak at 67% this week, compared to 5.72% the previous week. The 2-year/10-year United...
SAS Weekly U.K. Gilt Yield and Pound Sterling Forecast, November 22, 2024: 29.8% Probability of Inverted Yields in May
Summary One month forward Gilt rates peak at 5.72% this week, compared to 5.60% the previous week. The 2-year/10-year United...
SAS Weekly U.K. Gilt Yield and Pound Sterling Forecast, November 15, 2024: Flirtation with Inverted Yields Continues
Summary One month forward Gilt rates peak at 60% this week, compared to 5.75% the previous week. The 2-year/10-year United...
SAS Weekly U.K. Gilt Yield and Pound Sterling Forecast, November 8, 2024: On the Verge of an Inversion
Summary One month forward Gilt rates peak at 5.75% this week, compared to 5.66% the previous week. The 2-year/10-year United...
SAS Weekly U.K. Gilt Yield and Pound Sterling Forecast, October 25, 2024: Peak in One Month Forward Rates Jumps 0.23%
Summary One-month forward Gilt rates peak at 5.60% this week, up 0.23% from the previous week. The 2-year/10-year United Kingdom...
SAS Weekly U.K. Gilt Yield and Pound Sterling Forecast, October 11, 2024: Probability of Inverted Yields at 26.4%
Summary The 2-year/10-year United Kingdom Gilt spread closed the week at a positive 4.3 basis points. As a result, today’s...
A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the United Kingdom Government Bond Yield Curve, Using Daily Data from January 2, 1979 through November 30, 2022
Daniel Dickler, Robert A. Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer, and Xiaoming Wang[1] First Version:...
A 12-Factor Heath, Jarrow, and Morton Stochastic Volatility Model For 13-Country `World’ Government Bonds, Using Daily Data from January 1, 1962 through September 30, 2021
Donald R. van Deventer[1] First Version: October 19, 2021 This Version: October 21, 2021 ABSTRACT Please note: Kamakura...