Strategies Ryan Poirier SUNY Plattsburgh Overview Strategies Bullet Centralized investment Barbell Straddled i nvestment a round the corresponding Bullet Barbell Bullet Regression ID: 509222
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Slide1
Yield-Curve Strategies
Ryan Poirier
SUNY PlattsburghSlide2
Overview
Strategies
:
Bullet: Centralized investment
Barbell: Straddled investment around the corresponding Bullet
Barbell
BulletSlide3
Regression
Where:
Slide4
Changes in Coefficients
Notation:
t = time in the sample
s = interval
Change in
level
at time t, over the interval s
Slide5
Interaction between changes in coefficients
A, B, C, D are to be estimated
These two equations produce the following results:
Slide6
Equation for rates
*The Expected Values come from previous slides
Slide7
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)
Slide8
Final Estimation of rates
]
Slide9
Initial Yield CurvesSlide10
Coupon RatesSlide11
Term To Maturity