The time value function for a vanilla interest rate swap is derived in this note. For monotonic and stationary yield curves, value is zero at the end points and either wholly negative or wholly positive over the life of the swap. But reversals in the term structure of interest rates from...

The received theory of efficient capital markets is based on an equilibrium to a predictive game. As such, it does not cope with the observed volatility of many asset markets, or with the evident existence of contingent or actional rules such as chartism. Choosing a simple martingale (random...