b*b
发帖数: 422 | 1 Confusing Curves
While Wall Street has been transfixed by the drama in stockmarkets, an
equally spectacular sideshow is playing in the bond markets. In recent
weeks yeilds on government bonds of all maturities have been pushed down
as investors have spurned riskier assets both at home and abroad. On
August 31st, as share prices plunged, yields on 30-year American Transuries
fell to 5.24%, their lowest since 1968. Although they rose again later,
yields onfederal government debt ofall maturities a | q**i
发帖数: 174 | 2
it's not the first time we face an inverted yield curve (70's, and
for a brief period during '93-94). (Spot) yield curve isn't really
that import to people who arb along the yield curve. What's important
is forward yield curve, and forward constant maturity yield curve.
Forward curves is mkt's implied expectation of yields in the
future, and are proven empirically quite accurate.
Fixed income is really one of the two areas where people with
profound math skills can excel. The other is derivativ
【在 b*b 的大作中提到】
: Confusing Curves
: While Wall Street has been transfixed by the drama in stockmarkets, an
: equally spectacular sideshow is playing in the bond markets. In recent
: weeks yeilds on government bonds of all maturities have been pushed down
: as investors have spurned riskier assets both at home and abroad. On
: August 31st, as share prices plunged, yields on 30-year American Transuries
: fell to 5.24%, their lowest since 1968. Although they rose again later,
: yields onfederal government debt ofall maturities a
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