Descriptive Bond-Yield and Forward-Rate Models for the British Government Securities' Market: [forms Part Of: Report of the Fixed-Interest Working Group, B.A.J. 4, II Pg.213–383]

1998 ◽  
Vol 4 (2) ◽  
pp. 265-321 ◽  
Author(s):  
A.J.G. Cairns
Keyword(s):  
Least Squares ◽  
Working Group ◽  
Yield Curve ◽  
Securities Market ◽  
Rate Curve ◽  
Forward Rate ◽  
Bond Yield ◽  
Least Squares Fit ◽  
Curve Model ◽  
First Time

ABSTRACTThis paper discusses possible approaches to the construction of gilt yield indices published by the Financial Times. The existing method, described by Dobbie & Wilkie (1978) splits bonds into high, medium and low-coupon bands and fits separate yield curves to each. This method has been identified as susceptible to ‘catastrophic’ jumps when the least-squares fit jumps from one set of parameters to another set of quite different values. This problem is a result of non-linearities in the least-squares formula which can give rise to more than one local minimum. A desire to remove the risk of catastrophic changes prompted this research, which is being carried out as part of the work of the Fixed Interest Working Group.Recent changes in the taxation of bonds has, further, prompted the need for a review of the yield indices. Significantly, since the announcement of the new tax regime, the old coupon effect has been removed. This has made the use of a single forward-rate curve appropriate for the first time.A particular form of forward-rate curve is proposed as the basis for a revision of the gilt yield indices. This curve appears to give a significantly better fit than the present yield–curve model. It is also argued that the risk of catastrophic jumps has been reduced significantly.

Interest rate volatility and the shape of the term structure

1994 ◽  
Vol 347 (1684) ◽  
pp. 563-576 ◽  
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Yield Curve ◽  
Factor Models ◽  
The State ◽  
Rate Curve ◽  
Forward Rate ◽  
State Variables ◽  
Single Factor ◽  
Interest Rate Volatility

This paper analyses the effect of interest rate uncertainty on the shape of the forward rate curve. We consider a broad class of term structure models characterized by an affine relation between the drift and diffusion coefficients of the stochastic process describing the evolution of the state variables and the level of the state variables. For these models, a simple relation exists between the shape of the forward rate curve, the sensitivity of the zero-coupon yield curve to the state variables and the variance-covariance matrix of the state variables. In single factor models this relation implies that minus the convexity of the forward rate curve with respect to a measure of ‘duration’ is equal to the variance of the short rate. The paper explores why it is that, despite the well known shortcomings of single factor models, attempts to fit such models to cross-sections of nominal bond prices nonetheless produce reasonable estimates of interest rate volatility.

The three lowest ion-pair states of ICl

1984 ◽  
Vol 62 (12) ◽  
pp. 1941-1946 ◽  
Author(s):  
D. Bussières ◽  
A. R. Hoy
Keyword(s):  
Least Squares ◽  
Nonlinear Least Squares ◽  
Ion Pair ◽  
Matrix Elements ◽  
Coupling Matrix ◽  
Least Squares Fit ◽  
Vibrational Levels ◽  
Iodine Chloride ◽  
First Time ◽  
Chloride Molecule

The three lowest ion-pair states of the iodine chloride molecule, E(Ω = 0), β(Ω = 1), and D′(Ω = 2), form a coupled triad whose Te'S all lie within 50 cm−1. Transitions to low vibrational levels (ν = 0–2) of D′ are reported for the first time and the analysis of E and β at low ν is expanded considerably. By including the coupling matrix elements explicitly in a nonlinear least squares fit, values for the electronic matrix elements are found that are close to, but slightly less than, the pure precession values.

scholarly journals The Japan Municipal Bond Yield Curve: 2002 to the Present

2016 ◽  
Vol 8 (6) ◽  
pp. 118 ◽  
Author(s):  
Takahiro Hattori ◽  
Hiroki Miyake
Keyword(s):  
Current Literature ◽  
Yield Curve ◽  
Bond Market ◽  
Municipal Bonds ◽  
Municipal Bond ◽  
Spline Method ◽  
Bond Yield ◽  
Long Run ◽  
Daily Data ◽  
First Time

<p align="left">The aim of this paper is to present the par yield curve for Japan’s Municipal Bonds, by examining daily data from 2002 to the present. Moreover, this paper contributes to current literature by making available for the first time additional long-run market data on Japan’s Municipal Bonds, and thereby enabling economists and practitioners to analyze the large municipal bond market of Japan in detail. We also investigate the fit of the well-known parametric and spline methods in their standard measures, and are able to show that the spline method does, in fact, fit well as in previous studies. In keeping with our aim to make these data more widely available, we posted the data on the following website and expect to update this regularly: http://www.mcnnns77.net.</p>

Modeling the green bond yield on bond offering

2020 ◽  
Vol 26 (12) ◽  
pp. 2858-2878
Author(s):  
M.I. Emets
Keyword(s):  
Linear Regression ◽  
Yield Curve ◽  
Bond Market ◽  
Third Party ◽  
Bond Pricing ◽  
Market Development ◽  
Fair Price ◽  
Lower Yield ◽  
Yield Curves ◽  
Bond Yield

Subject. The article addresses the green bond pricing as compared to bonds other than green ones. Objectives. The aims are to determine how the fact that a bond is identified as a green one, the issue amount, and the availability of third-party verification, influence the yield to maturity; to make recommendations on effective green bond pricing. Methods. The study employs econometric testing of hypotheses, using the multiple linear regression. The sample includes 318 green and 1695 conventional bonds. Results. Green bonds have a lower yield to maturity in comparison with conventional bonds. The yield to maturity of green bonds with third-party verification is lower, as contrasted with green bonds without verification. Conclusions. The next step in the green bond market development is creating a benchmark yield curve for sovereign green bonds, with parallel issuance of conventional, non-green bonds. The yield curve is crucial for effective bond pricing. Two yield curves, i.e. for green and non-green bonds, will enable investors to estimate the fair price on issuance, as well as to define, if there is a difference in pricing.

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