We show that term premia rise when volatility increases in Brazil, whereas the literature shows that volatility is negatively correlated with term premia in advanced economies. We analyze how marketexpectations differ for a subset of options and futures and whether those expectations accurately...

This paper documents vanilla interest-rate options (caps, floors and swaptions) newly introduced in China. The underlying rates are the RMB loan prime rates (LPRs), the foremost interest rates that matter to almost all businesses and households in China. They are digital with a tick size of five...

DI1 futures are referenced against one-day interbank deposits (CDI) in the Brazilian onshore market. They have an underlying rate R computed as the average of 1D CDI rates compounded daily on a Bus/252 day count basis, where Bus/252 is equivalent to Act/252.Futures are short interest rate...

In this paper, we present an arithmetic short rate model based on generalized Langevin equations. The innovative feature of the model is that it accounts for memory effects in interest rate markets via the involved Langevin processes. In this setup, we provide a representation for the related...

With the transitions to overnight benchmarks as the main benchmarks in some currencies, futures based on overnight rates are becoming more common. The most traded futures on overnight rates settle against compounded rates. The pricing of those futures requires some convexity adjustments with an...

This research aims to study the viability of a reformed interbank rate for the Moroccan money market within the framework of the global transition of reference indices. Through the analysis of 351 days of quotation, we were able to obtain a rather encouraging result with the selected methodology...

Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the...

PCA (Principal Component Analysis) reduces the dimensionality of an input dataset while also ensuring that it preserves maximum information. In the present work, we conducted a PCA on US treasury Bonds. We took a data set of 9 treasury bonds of various maturities and computed the principal...

The object of this paper is to test several familiar hypotheses about the relationship between the forward rates implied by the term structure and interest rate expectations, using the one ongoing systematic survey that samples market participants' expectations. The substitution of survey data...

Since the Global Financial Crisis, rates on interest rate swaps have fallen below maturity matched U.S. Treasury rates across different maturities. Swap rates represent future uncollateralized borrowing between banks. Treasuries should be expensive and produce yields that are lower than those of...