Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 months Forward Rate Agreement (FRA), and that...

We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps...

Using quarterly data and dealing with the ex post real rates on three month U.S. Treasury bills and 20 year U.S. Treasury bonds, this empirical note has estimated an IS-LM based regression by 2SLS. The results indicate that the budget deficit raises the slope of the yield curve. Furthermore, to...

This theoretical note elaborates upon why it is a myth that YTM is viewed as only a promised but not really earned interest rate. It addresses some misconceptions in Shirnani and Wilbratte (2009) on what, between YTM and RCY, is a true rate of return of a coupon bond, why YTM is not just a...

This note attempts to further elaborate why it is a myth that YTM is viewed as only a promised but not really earned interest rate. It addresses some misconceptions regarding what, between YTM and RCY, is a true rate of return of a coupon bond, why YTM is NOT just a “fictitious mathematical...