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Figures and Tables. Fig 1a. Fig 1b. Fig 1c. Fig 1d. Fig 1e. Fig 1f. Fig 1g. Fig 1h. Fig 2a. Fig 2b. Fig 2c. Fig 2d. Fig 2e. Fig 2f. Fig 2g. Fig 3a. Fig 3b. Fig 3c. Fig 3d. Fig 4. Fig 5. Figs 6a to 6d. Fig 7. Fig 8. Fig 9. Fig 10. Fig 11. Fig 12. Fig 13. Fig 14. - PowerPoint PPT Presentation

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Figures and Tables

Fig 1aDEPOSIT_USD_3M

0.0%

1.0%

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22-Sep-93 04-Feb-95 18-Jun-96 31-Oc t- 97 15-Mar-99 27-Jul- 00 09-Dec-01

Fig 1bDEPOSIT_USD_6M

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22-Sep-93 04-Feb-95 18-Jun-96 31-Oc t- 97 15-Mar-99 27-Jul- 00 09-Dec-01

Fig 1cDEPOSIT_USD_1Y

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22-Sep-93 04-Feb-95 18-Jun-96 31-Oc t- 97 15-Mar-99 27-Jul- 00 09-Dec-01

Fig 1dBOND_USD_2Y

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22-Sep-93 04-Feb-95 18-Jun-96 31-Oc t- 97 15-Mar-99 27-Jul- 00 09-Dec-01

Fig 1eBOND_USD_5Y

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9.0%

22-Sep-93 04-Feb-95 18-Jun-96 31-Oc t- 97 15-Mar-99 27-Jul- 00 09-Dec-01

Fig 1fBOND_USD_10Y

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22-Sep-93 04-Feb-95 18-Jun-96 31-Oc t- 97 15-Mar-99 27-Jul- 00 09-Dec-01

Fig 1gBOND_USD_20Y

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9.0%

22-Sep-93 04-Feb-95 18-Jun-96 31-Oc t- 97 15-Mar-99 27-Jul- 00 09-Dec-01

Fig 1hBOND_USD_30Y

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1.0%

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22-Sep-93 04-Feb-95 18-Jun-96 31-Oc t- 97 15-Mar-99 27-Jul- 00 09-Dec-01

Fig 2aSerial Variance: DEPOSIT_USD_3M

0.0000

0.0020

0.0040

0.0060

0.0080

0.0100

0.0120

1 6 11 16 21 26 31 36 41 46 51 56 61 66

n-day non-overlapping changes

Fig 2bSerial Variance: DEPOSIT_USD_6M

0.000

0.002

0.004

0.006

0.008

0.010

0.012

1 6 11 16 21 26 31 36 41 46 51 56 61 66

n-day non-overlapping changes

Fig 2cSerial Variance: DEPOSIT_USD_1Y

0.000

0.002

0.004

0.006

0.008

0.010

0.012

0.014

0.016

1 6 11 16 21 26 31 36 41 46 51 56 61 66

n-day non-overlapping changes

Fig 2dSerial Variance: BOND_USD_2Y

0.000

0.002

0.004

0.006

0.008

0.010

0.012

0.014

0.016

1 6 11 16 21 26 31 36 41 46 51 56 61 66

n-day non-overlapping changes

Fig 2eSerial Variance: BOND_USD_10Y

0.000

0.001

0.002

0.003

0.004

0.005

0.006

0.007

0.008

0.009

1 6 11 16 21 26 31 36 41 46 51 56 61 66

n-day non-overlapping changes

Fig 2fSerial Variance: BOND_USD_20Y

0.000

0.001

0.002

0.003

0.004

0.005

0.006

0.007

1 6 11 16 21 26 31 36 41 46 51 56 61 66

n-day non-overlapping changes

Fig 2gSerial Variance: BOND_USD_30Y

0.000

0.001

0.002

0.003

0.004

0.005

0.006

1 6 11 16 21 26 31 36 41 46 51 56 61 66

n-day non-overlapping changes

Fig 3aDensity of curvatures: DEPOSIT_USD_3M to DEPOSIT_USD_1Y

0.00

0.02

0.04

0.06

0.08

0.10

0.12

0.14

0.16

0.18

0.20

-0.06 -0.04 -0.02 0.00 0.02 0.04 0.06

Fig 3bDensity of curvatures: DEPOSIT_USD_6M to BOND_USD_2Y

0.00

0.01

0.02

0.03

0.04

0.05

0.06

0.07

0.08

-0.01 0.00 0.01 0.02 0.03 0.04 0.05 0.06

Fig 3cDensity of curvatures: BOND_USD_5Y to BOND_USD_20Y

0.00

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0.09

-0.0

002

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001

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00

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01

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03

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08

Fig 3dDensity of curvatures: BOND_USD_10Y to BOND_USD_30Y

0.00

0.01

0.02

0.03

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-0.0

0003

5

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0003

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0002

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0002

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0001

5

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5

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0000

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0005

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0010

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0015

Fig 4

0

0.002

0.004

0.006

0.008

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0.012

0 2 4 6 8 10 12 14 16 18 20

Fig 5

Lag-1 Serial Autocorrelation (Empirical)

-0.3

-0.2

-0.1

0

0.1

0.2

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0.6

0 10 20 30 40

Yield1Yield2Yield3Yield4Yield5Yield6Yield7Yield8

Figs 6a to 6d

3.00

5.00

7.00

9.00

11.00

13.00

15.00

0 5 10 15 20 25 30

0360720108014401800

1.00

2.00

3.00

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0 5 10 15 20 25 30

0360720108014401800

2.00

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7.00

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9.00

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11.00

12.00

0 5 10 15 20 25 30

0360720108014401800

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

11.00

12.00

13.00

0 5 10 15 20 25 30

0360720108014401800

Fig 7

Eigenvalues

0

0.0001

0.0002

0.0003

0.0004

0.0005

0.0006

0.0007

0.0008

0.0009

0 2 4 6 8 10

EmpiricalRandomSpringBox

Fig 8

First Eigenvector

-0.7

-0.6

-0.5

-0.4

-0.3

-0.2

-0.1

01 2 3 4 5 6 7 8

EmpiricalRandomSpringBox

Fig 9

Second Eigenvector

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1 2 3 4 5 6 7 8

EmpiricalRandomSpringBox

Fig 10

Third Eigenvector

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1 2 3 4 5 6 7 8

EmpiricalRandomSpringBox

Fig 11

Lag-1 Serial Autocorrelation (Random)

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0 10 20 30 40 50

Yield1

Yield2

Yield3

Yield4

Yield5

Yield6

Yield7

Yield8

Fig 12

Variance of Curvatures

- 0.00200 0.00400 0.00600 0.00800 0.01000 0.01200 0.01400 0.01600 0.01800 0.02000

0.625 1.25 3 6 12.5 20

Empirical

Random

Spring

Box

Fig 13

Lag-1 Serial Autocorrelation (Spring)

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0 10 20 30 40 50

Yield1

Yield2

Yield3

Yield4

Yield5

Yield6

Yield7

Yield8

Fig 14

Lag-1 Serial Autocorrelation (Box)

-0.2

-0.1

0

0.1

0.2

0.3

0.4

0.5

0.6

0 10 20 30 40

Yield1

Yield2

Yield3

Yield4

Yield5

Yield6

Yield7

Yield8

Fig 15a

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0 10 20 30 40 50 60

DEPOSIT_USD_3M

Real World

-0.20

-0.10

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0 10 20 30 40 50 60

DEPOSIT_USD_6M

Real World

-0.10

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0 10 20 30 40 50 60

BOND_USD_2Y

Real World

-0.20

-0.10

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0 10 20 30 40 50 60

BOND_USD_5Y

Real World

Fig 15b

-0.20

-0.10

0.00

0.10

0.20

0.30

0.40

0 10 20 30 40 50 60

BOND_USD_20Y

Real World

-0.20

-0.15

-0.10

-0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0 10 20 30 40 50 60

BOND_USD_30Y

Real World

Fig 16a

0

0.002

0.004

0.006

0.008

0.01

0.012

0.014

0 10 20 30 40 50 60 70

3m

Empirical

Box+Spring

Fig 16b

0

0.002

0.004

0.006

0.008

0.01

0.012

0.014

0.016

0 10 20 30 40 50 60 70

6m

Empirical

Box+Spring

Fig 16c

0

0.005

0.01

0.015

0.02

0.025

0 10 20 30 40 50 60 70

1y

Empirical

Box+Spring

Fig 16d

0

0.005

0.01

0.015

0.02

0.025

0.03

0.035

0 10 20 30 40 50 60 70

2y

Empirical

Box+Spring

Fig 16e

0

0.002

0.004

0.006

0.008

0.01

0.012

0.014

0.016

0.018

0.02

0 10 20 30 40 50 60 70

5y

Empirical

Box+Spring

Fig 16f

0

0.002

0.004

0.006

0.008

0.01

0.012

0 10 20 30 40 50 60 70

10y

Empirical

Box+Spring

Fig 16g

0

0.001

0.002

0.003

0.004

0.005

0.006

0.007

0 10 20 30 40 50 60 70

20y

Empirical

Box+Spring

Fig 16h

0

0.001

0.002

0.003

0.004

0.005

0.006

0.007

0 10 20 30 40 50 60 70

30y

Empirical

Box+Spring

Figs 17 and 19

4

4.5

5

5.5

6

6.5

0 5 10 15 20 25 30

Series1Series2Series3Series4Series5

4

4.5

5

5.5

6

6.5

7

0 5 10 15 20 25 30

Series1Series2Series3Series4Series5

4

4.5

5

5.5

6

6.5

7

7.5

0 5 10 15 20 25 30

Series1Series2Series3Series4Series5

Fig 20

-0.60000

-0.50000

-0.40000

-0.30000

-0.20000

-0.10000

0.00000

0.10000

3m 6m 1y 2y 5y 10y 20y 30y

Percentage

Absolute

Tab 1

Levels of Rates

DEPOSIT_USD_3M

DEPOSIT_USD_6M

DEPOSIT_USD_1Y

BOND_USD_2Y

BOND_USD_5Y

BOND_USD_10Y

BOND_USD_20Y

BOND_USD_30Y

min 1.95% 1.92% 2.03% 2.33% 3.30% 4.24% 4.61% 5.08%max 6.88% 7.13% 7.81% 7.05% 8.31% 8.47% 8.46% 8.64%

average 5.37% 5.46% 5.66% 5.32% 5.84% 6.22% 6.39% 6.66%stdev 0.97% 0.99% 1.02% 1.01% 1.03% 0.86% 0.81% 0.80%

variance 9.38E-05 9.88E-05 0.0001045 0.0001011 0.0001051 7.44E-05 6.49E-05 6.44E-05skew -1.284865 -1.24616 -0.987848 -0.911544 -0.160438 0.3519517 0.424101 0.4300074kurt 1.5977754 1.688182 1.3741211 0.0593891 0.050623 -0.284676 -0.439583 -0.790756

Tab 2

Changes in Rates

DEPOSIT_USD_3M

DEPOSIT_USD_6M

DEPOSIT_USD_1Y

BOND_USD_2Y

BOND_USD_5Y

BOND_USD_10Y

BOND_USD_20Y

BOND_USD_30Y

min -10.61% -10.70% -12.13% -15.13% -8.50% -4.60% -6.23% -8.55%max 10.23% 8.11% 9.55% 9.42% 21.41% 5.42% 4.42% 3.83%

average -0.02% -0.02% -0.01% 0.01% 0.02% 0.00% 0.00% 0.00%stdev 0.88% 0.93% 1.10% 1.24% 1.28% 1.07% 0.92% 0.85%

variance 7.82E-05 8.69E-05 0.0001205 0.0001543 0.0001644 0.0001144 8.36E-05 7.25E-05skew -0.797953 -0.843082 -0.302394 -0.593901 2.2221474 0.2967838 0.1583266 -0.442658kurt 25.487472 18.893852 14.115295 15.139442 38.609994 2.1730483 2.4543888 6.0621243

Tab 3

Curvatures 3M -> 1Y 6M -> 2Y 1Y -> 5Y 2Y -> 10Y 5Y -> 20Y 10Y -> 30Y

min -0.04 -0.004292 -0.01516 -0.00098 -9.06E-05 -4.80E-05max 0.05 0.0503644 0.0021362 0.0024292 0.0006796 2.58E-05

average -0.000923 0.010068 -0.002584 0.0002376 7.97E-05 -1.04E-05stdev 0.0103632 0.010134 0.003329 0.000592 0.0001685 7.92E-06

variance 0.0001074 0.0001027 1.11E-05 3.51E-07 2.84E-08 6.27E-11skew 1.3151704 1.6675879 -1.673357 1.9059361 2.4168937 -0.211149kurt 4.1702147 2.1296391 2.0909057 4.5001319 4.6589933 0.6917889

Tab 4

Changes in Curvatures

3M -> 1Y 6M -> 2Y 1Y -> 5Y 2Y -> 10Y 5Y -> 20Y 10Y -> 30Y

min -0.061664 -0.008133 -0.002967 -0.000295 -0.000336 -4.94E-05max 0.0466667 0.0091731 0.0024167 0.0016959 4.67E-05 5.16E-05

average -6.62E-06 -2.86E-06 1.60E-06 7.41E-07 -2.03E-07 8.82E-09stdev 0.0048353 0.001637 0.0003536 5.10E-05 1.02E-05 2.00E-06

variance 2.34E-05 2.68E-06 1.25E-07 2.60E-09 1.05E-10 4.00E-12skew -1.001259 0.1252825 -0.076296 16.993317 -16.63672 0.9629592kurt 22.543064 2.541568 5.7177958 574.98034 539.3809 404.26392

Tab 5

Empirical Random Spring Box0.625 0.00999 0.01829 0.00850 0.00782 1.25 0.00431 0.01278 0.00217 0.00536

3 0.00095 0.00366 0.00097 0.00126 6 0.00027 0.00122 0.00015 0.00041

12.5 0.00006 0.00040 0.00005 0.00008 20 0.00003 0.00015 0.00002 0.00002

Tab 6

Percentage Absolute3m -0.25930 0.042276m -0.35212 0.018891y -0.47963 -0.056702y -0.48984 -0.089825y -0.39558 -0.1271810y -0.25171 -0.0709820y -0.12260 0.0065530y -0.06846 0.01371

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