O'Reilly logo

The Handbook of Fixed Income Securities, Eighth Edition, 8th Edition by Steven V. Mann, Frank J. Fabozzi

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

CHAPTERTHIRTY-SIXOVERVIEW OF FORWARD RATE ANALYSIS

ANTTI ILMANEN, PH.D.

Managing DirectorAQR Capital Management (Europe) LLP

Over the years, advances have been made in both the theoretical and the empirical analysis of the term structure of interest rates. However, such analysis is often very quantitative, and it rarely emphasizes practical investment applications. In this chapter we briefly describe the computation of par, spot, and forward rates, present a framework for interpreting the forward rates by identifying their main determinants, and develop practical tools for using the information in forward rates in active bond portfolio management.

The three main influences on the Treasury yield-curve shape are (1) the market’s expectations of ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required