The tutorial is based on the recent Kamakura publication by Kamakuraâs Daniel T. Dickler, Robert A. Jarrow and Donald R. van Deventer, âInside the Kamakura Book of Yields: A Pictorial History of 50 Years of U.S. Treasury Forward Ratesâ.
A statistical analysis of forward rate movements is summarized in the video by Dr. van Deventer based on the recent blog entry by Kamakuraâs Daniel Dickler and Dr. van Devente.
âKamakuraâs video tutorial series is driven by demand from clients and potential clients 365 days a year and 24 hours a day,â said Kamakura Chief Administrative Officer Martin Zorn. âWith the initiation of this video series, Kamakuraâs best experts on the most advanced risk issues of the day are available âon demandâ to clients all over the world. Kamakuraâs state of the art yield curve analytics, dating back more than 20 years, are clearly apparent in the first video on historical movements in forward rate curves. Many of the term structure models used in practice are simply inconsistent with actual market movements for a very basic reason-the analyst never looked at the data to verify that the assumed yield movements fit the facts. With this video on 12,395 days of forward rate data, an analyst can immediately verify whether his assumptions about how interest rates move are correct or not.â