About this document
Analyzing Bond Yield Misalignment by simmi33 is a document available to read on EtoBox.
The document discusses bond yield curves and the Cox-Ingersoll-Ross (CIR) model for interest rates. It provides an example where the actual bond yields for 1, 5, 10, and 30 year maturities are misaligned compared to what the CIR model predicts. Specifically, the differences between actual and predicted yields are larger for 10-year bonds than 30-year bonds. This implies a strategy of shorting 30-year bonds and going long on 10-year bonds, betting that the yields will converge back to the CIR curve over time
- Author
- simmi33
- Language
- EN