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We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies, we find a strong negative correlation between sector spreads and rate shifts. However, we also observe that the correlations between spreads and Treasury twists reversed recently, which is likely attributable to the Fe…
Models which postulate lognormal dynamics for interest rates which are compounded according to market conventions, such as forward LIBOR or forward swap rates, can be constructed initially in a discrete tenor framework. Interpolating interest rates between maturities in the discrete tenor structure is equivalent to extending the model to continuous tenor. The present paper sets forth an alternative way of performing …
The financial industry has undergone a significant transition from the London Interbank Offered Rates (LIBORs) to Risk Free Rates (RFRs) such as, e.g., the Secured Overnight Financing Rate (SOFR) in the U.S. and the Cash Rate (AONIA) in Australia, as primary benchmark rates for borrowing costs. The paper examines the pricing and hedging method for financial products in a cross-currency framework with the special emph…
Deep reinforcement learning (DRL) has been envisioned to have a competitive edge in quantitative finance. However, there is a steep development curve for quantitative traders to obtain an agent that automatically positions to win in the market, namely \textit{to decide where to trade, at what price} and \textit{what quantity}, due to the error-prone programming and arduous debugging. In this paper, we present the fir…
Small Medium-sized Enterprises (SMEs) face many obstacles when they try to access credit market. These obstacles are increased if the SMEs are innovative. In this case, financial data are insufficient or even not reliable. Thus, when building a judgemental rating model, mainly based on qualitative criteria (soft information), it is very important to finance SMEs' activities. Until now, there isn't a multicriteria cre…
Automated Market Makers based on concentrated liquidity, such as Uniswap v3, significantly improve capital efficiency but expose Liquidity Providers (LPs) to adverse selection costs, formalized as Loss-Versus-Rebalancing (LVR). While theoretical literature quantifies these costs, the interplay between realistic blockchain microstructure and endogenous pricing mechanisms remains under-explored. This paper develops a g…
In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence of arbitrage and rely instead on a minimal market viability assumption, which enables us to work in the context of the benchmark approach. In a Markovian setting, we extend the control theoretic approach of Gombani & Runggaldier (2013) and…
This paper compares different methods for forecasting the term structure of U.S. and European zero-coupon government bonds using both traditional econometric and Machine Learning (ML) approaches. We compare classical models (e.g., Dynamic Nelson-Siegel (DNS) and Principal Component Analysis (PCA)) with different Neural Network (NN) architectures, including those inspired by the classical models, on the U.S. Treasury …
This paper introduces a new algorithmic execution model that integrates interbank limit and market orders with internal liquidity generated through market making. Based on the Cartea et al.\cite{cartea2015algorithmic} framework, we incorporate market impact in interbank orders while excluding it for internal market-making transactions. Our model aims to optimize the balance between interbank and internal liquidity, r…
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics of strategic LPs who dynamically adjust their range of liquidity provision in CL pools. Their wealth results from fee income, the value of their holdings in the pool, and rebalancing costs. Next, we derive a self-financing and closed-form op…
Many empirical studies have discussed market liquidity, which is regarded as a measure of a booming financial market. Further, various indicators for objectively evaluating market liquidity have also been proposed and their merits have been discussed. In recent years, the impact of high-frequency traders (HFTs) on financial markets has been a focal concern, but no studies have systematically discussed their relations…
This paper develops a three-currency Heath-Jarrow-Morton framework in which corporate credit is treated as a separate economy, connected to the nominal and real economies through synthetic inflation and credit exchange rates. The framework produces a testable identity. Under joint no-arbitrage, the credit spread of an issuer expressed over the inflation-rateindexed risk-free curve equals the same issuer's credit spre…
We explore the interplay between sovereign debt default/renegotiation and environmental factors (e.g., pollution from land use, natural resource exploitation). Pollution contributes to the likelihood of natural disasters and influences economic growth rates. The country can default on its debt at any time while also deciding whether to invest in pollution abatement. The framework provides insights into the credit spr…
A growing number of contributions in the literature have identified a puzzle in the European carbon allowance (EUA) market. Specifically, a persistent cost-of-carry spread (C-spread) over the risk-free rate has been observed. We are the first to explain the anomalous C-spread with the credit spread of the corporates involved in the emission trading scheme. We obtain statistical evidence that the C-spread is cointegra…
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any currency denominations. In view of this, we first provide a thorough study of cross-currency markets in the presence of collateral and incompleteness. Then we give a general treatment of collateral dislocations by describing the instantaneous…
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the decomposition of spreads. Modelling the LIBOR-OIS spread as credit and funding-liquidity roll-over risk, we find that the spike in …
We discuss the binary nature of funding impact in derivative valuation. Under some conditions, funding is either a cost or a benefit, i.e., one of the lending/borrowing rates does not play a role in pricing derivatives. When derivatives are priced, considering different lending/borrowing rates leads to semi-linear BSDEs and PDEs, and thus it is necessary to solve the equations numerically. However, once it can be gua…
Cash collateral is perfect in that it provides simultaneous counterparty credit risk protection and derivatives funding. Securities are imperfect collateral, because of collateral segregation or differences in CSA haircuts and repo haircuts. Moreover, the collateral rate term structure is not observable in the repo market, for derivatives netting sets are perpetual while repo tenors are typically in months. This arti…
LIBOR-OIS spread tracks the gap between unsecured bank funding rates and overnight indexed swap rates, historically serving as a benchmark for banking-system stress.
TED Spread measures the difference between interbank lending rates and short-term U.S. government bill yields, historically used as a gauge of credit and funding stress.
Swap spread measures the difference between interest rate swap rates and Treasury yields of similar maturity, helping track balance-sheet conditions, collateral dynamics, and structural stress in rates markets.
SOFR is the Secured Overnight Financing Rate, a key benchmark for U.S. dollar funding based on overnight Treasury repo transactions.
A Financial Conditions Index aggregates variables such as rates, credit spreads, equities, and the dollar to measure how supportive or restrictive the market environment is for growth and risk assets.
Equity Risk Premium measures the excess return investors expect from equities over risk-free assets and is a core framework for evaluating relative equity valuation.
Baltic Dry Index tracks shipping rates for dry bulk commodities and offers a real-economy signal on trade flows, freight conditions, and industrial demand.
Repo rates reflect the cost of short-term secured borrowing against collateral and are central to understanding liquidity, Treasury market functioning, and funding stress.
Term premium is the extra compensation investors demand for holding longer-term bonds instead of rolling short-term debt, reflecting duration risk, uncertainty, and market structure.
US 10-Year Real Yield measures the inflation-adjusted yield on 10-year Treasuries and is a key benchmark for discount rates, financial conditions, and macro asset pricing.
The 3M10Y Treasury curve compares 10-year Treasury yields with 3-month Treasury bill yields and is closely watched as a recession and policy-cycle indicator.
The 2s10s Treasury curve measures the spread between 10-year and 2-year Treasury yields and is a key indicator of growth expectations, policy path, and term structure dynamics.
FRA-OIS spread measures the difference between interbank funding expectations and overnight indexed swap rates, often used as a gauge of banking and short-term funding stress.
The term structure of interest rates across maturities, used to read growth, liquidity, and stress expectations.
The MOVE Index tracks implied volatility in the U.S. Treasury market and serves as a benchmark for rates uncertainty and macro stress.
Federal Funds Rate — The effective overnight policy rate anchor that transmits through the entire USD funding stack and global risk appetite.
Neutral Rate Estimate — Estimates of the equilibrium real policy rate that separates restrictive from accommodative stance.
Yield Curve Control — Official caps on benchmark yields and the distortions they create in RV and cross-market hedging.
Housing Starts — Rate-sensitive construction activity with multiplier effects across materials and labor.
Nonfarm Payrolls — The headline US jobs report that routinely moves rates, FX, and equity index volatility.
Duration Risk — Interest-rate sensitivity of bond portfolios, amplified in low-yield high-duration regimes.
Convexity Risk — Non-linear price response to yield changes, especially relevant in MBS and long bonds.
Asset Swap Spread — Spread between bond yield and floating leg, linking credit and funding markets.
Balance of Payments Crisis — Sudden stop in capital flows forcing adjustment through FX, rates, or austerity.
Value Factor — Cheap versus expensive stocks — cyclical performance tied to rates and inflation.
Gold Real Yields Correlation — Gold as non-yielding asset inversely sensitive to real rates and USD.
Sector Rotation Signals — Cyclical versus defensive leadership indicating growth and rates regime.
SABR Model (Derivatives).
Box Spread Arb (Derivatives).
SOFR Rate (Rates).
Fed Funds Effective Rate (Rates).
IONA Rate (Rates).
EURIBOR (Rates).
SONIA Rate (Rates).
TONA Rate (Rates).
OIS Swap (Rates).
2s10s Spread 10Y (Rates).
2s10s Spread 1M (Rates).
2s10s Spread 1Y (Rates).
2s10s Spread 20Y (Rates).
2s10s Spread 2Y (Rates).
2s10s Spread 30Y (Rates).
2s10s Spread 3M (Rates).
2s10s Spread 5Y (Rates).
2s10s Spread 6M (Rates).
2s10s Spread 7Y (Rates).
2s10s Spread belly (Rates).
2s10s Spread BoC (Rates).
2s10s Spread BoE (Rates).
2s10s Spread BoJ (Rates).
2s10s Spread ECB (Rates).
2s10s Spread Fed (Rates).
2s10s Spread front (Rates).
2s10s Spread long-end (Rates).
2s10s Spread PBoC (Rates).
2s10s Spread RBA (Rates).
2s10s Spread ultra-long (Rates).
The 2s10s Treasury curve measures the spread between 10-year and 2-year Treasury yields and is a key indicator of growth expectations, policy path, and term structure dynamics.
2s5s10s Fly 10Y (Rates).
2s5s10s Fly 1M (Rates).