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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

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Yield-Curve Strategies

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  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

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