[tech-spec] Re: Yield c urve study

  • From: BBands <BBands@xxxxxxxxxxxxxxxxxx>
  • To: "'tech-spec@xxxxxxxxxxxxx'" <tech-spec@xxxxxxxxxxxxx>
  • Date: Fri, 8 Oct 2004 11:21:29 -0700

> Here's an example that explains the calculation better than I can:
> http://www.bus.indiana.edu/cholden/fall2002/Gk/Usingfor.htm

I looked at this stuff pretty hard back in the middle '80s when I was
sitting for my CFA. One of my study group members was a fixed-income manager
and we took forward rate projections apart pretty carefully without finding
much of use. Nice theory, little application. We used to have races pounding
out forward curves or rolling portfolios up and down the yield curve on our
HP 12Cs. Thankfully I finally did get a life somewhere along in there.

The only real application I ever saw was Kurt Kyhl's. He entered all the
Treasury yields once a week and fit a curve to them. He then plotted a line
from the risk free rate tangent to the curve and used the intersection as a
maturity target for his managed portfolios. This worked quite well at the

My comments are on the article, not the way Chris is using the calc.


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