1 / 11

Yield-Curve Strategies

Yield-Curve Strategies. Ryan Poirier SUNY Plattsburgh. Overview. Strategies : Bullet: Centralized investment Barbell: Straddled i nvestment a round the corresponding Bullet. Bullet. Barbell. Regression. Where:. Changes in Coefficients . Notation: t = time in the sample

anne
Download Presentation

Yield-Curve Strategies

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Yield-Curve Strategies Ryan Poirier SUNY Plattsburgh

  2. Overview Strategies :Bullet: Centralized investmentBarbell: Straddled investment around the corresponding Bullet Bullet Barbell

  3. Regression • Where:

  4. Changes in Coefficients Notation: t = time in the sample s = interval Change in level at time t, over the interval s

  5. Interaction between changes in coefficients A, B, C, D are to be estimated These two equations produce the following results:

  6. Equation for rates • *The Expected Values come from previous slides

  7. determined by market conditions • =A(High Bearish) + B(Medium Bearish) + C(Low Bearish) + D(Low Neutral) + E(High Neutral) + F(Low Bullish) + G(Medium Bullish) + H(High Bullish)

  8. Final Estimation of rates • ]

  9. Initial Yield Curves

  10. Coupon Rates

  11. Term To Maturity

More Related