SUNY Plattsburgh Overview Strategies Bullet Centralized investment Barbell Straddled i nvestment a round the corresponding Bullet Barbell Bullet Regression Where Changes in Coefficients ID: 1029369
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1. Yield-Curve StrategiesRyan PoirierSUNY Plattsburgh
2. OverviewStrategies :Bullet: Centralized investmentBarbell: Straddled investment around the corresponding BulletBarbellBullet
3. RegressionWhere:
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 coefficientsA, B, C, D are to be estimatedThese 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