A model of the convenience yields in on-the-run treasuries (Q704008)
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scientific article; zbMATH DE number 2126993
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A model of the convenience yields in on-the-run treasuries |
scientific article; zbMATH DE number 2126993 |
Statements
A model of the convenience yields in on-the-run treasuries (English)
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12 January 2005
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Term structure of interest rates
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repurchase agreements
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HJM model
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bond pricing
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convenience yield.
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0.7649844884872437
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0.7161454558372498
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0.7122894525527954
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0.6847135424613953
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0.6720145344734192
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