I put up a graph of the second derivative of the yield curve under the assumption that the two period model holds, and I had error. This version seems better, I adjust the term period rates, they have to be expressed in the period of the loan, not year over year. So I still adjust this idea. The short term is on the right, long term to the left; a tanh X axis. The peak is at the ten year spot, which is correct, that is the knee of the real curve, so that is the spot with the most second derivative.
No comments:
Post a Comment