The complete text of âInside the Kamakura Yield Book, Volume III: A Pictorial History of 50 Years of U.S. Treasury Par Coupon Bond Yieldsâ.
The full text of a second volume, âInside the Kamakura Yield Book, Volume II: A Pictorial History of 50 Years of U.S. Treasury Zero Coupon Bond Yieldsâ.
The third companion memorandum by Daniel T. Dickler, Robert A. Jarrow and Donald R. van Deventer is âInside the Kamakura Yield Book: A Pictorial History of 50 Years of U.S. Treasury Forward Ratesâ.
âThe third volume of âInside the Kamakura Yield Bookâ completes the most comprehensive study of yield curve movements of its kind,â said Kamakura Chief Administrative Officer Martin Zorn. âKamakura believes that market participants need to be aware that existing academic models of yield curve movements have fallen short of the richness needed to replicate the 50 years of U.S. Treasury yield curve movements displayed in these three volumes. Kamakura Risk Manager is fully capable of replicating the multi-factor yield curve movements that these volumes illustrate so clearly. In this extremely dangerous low rate environment, that level of analytical power is essential to the safety and soundness of all financial institutions and portfolio managers with a large exposure to U.S. fixed income securities.â
The forward rate curves, zero coupon bond yield curves, and par coupon bond yield curves were derived from U.S. Treasury yield data provided by the Board of Governors of the Federal Reserve. The yield curve smoothing technique used was the âmaximum smoothness forward rateâ approach developed by Kamakura founder Dr. Donald R. van Deventer in 1994 with a co-author. The risk system used to generate the month forward rate data was Kamakura Risk Manager version 7.3. âInside the Kamakura Yield Book, Volume III: A Pictorial History of 50 Years of U.S. Treasury Par Coupon Bond Yieldsâ features one graph for each year from 1962 to the present showing U.S. Treasury semi-annual par coupon bond yields on each business day, like this graph for 2008.