Understanding the Yield Curve",
United States Fixed-Income Research Portfolio Strategies,
August, 1995. Copyright 1995,
Salomon Brothers, New York, NY. All rights reserved

pdf

pages:300 (more or less)

This report serves as an overview of a forthcoming series of reports that will examine the theme

Understanding the Yield Curve. After briefly describing the computation of par, spot and
forward rates, it presents a framework for interpreting the forward rates by
identifying their main influences and finally, it develops practical tools for
using forward rate analysis in active bond portfolio management.
Subsequent reports will discuss these topics in detail

author:antti llmanen

1.overview of forwrd rate analysis-1
2.market's rate expectations and forward rate-2
3.dose duration extention enhance long-term expected returns-3
4.forcasting US returns-4
5.cinvexity bias and yield curv-5