figures and tables
DESCRIPTION
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 PresentationTRANSCRIPT
Figures and Tables
Fig 1aDEPOSIT_USD_3M
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
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 1bDEPOSIT_USD_6M
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
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 1cDEPOSIT_USD_1Y
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
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 1dBOND_USD_2Y
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
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 1eBOND_USD_5Y
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
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
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
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 1gBOND_USD_20Y
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
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
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
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 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
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
-0.0
002
-0.0
001
0.00
00
0.00
01
0.00
02
0.00
03
0.00
04
0.00
05
0.00
06
0.00
07
0.00
08
Fig 3dDensity of curvatures: BOND_USD_10Y to BOND_USD_30Y
0.00
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
-0.0
0003
5
-0.0
0003
0
-0.0
0002
5
-0.0
0002
0
-0.0
0001
5
-0.0
0001
0
-0.0
0000
5
0.00
0000
0.00
0005
0.00
0010
0.00
0015
Fig 4
0
0.002
0.004
0.006
0.008
0.01
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
0.3
0.4
0.5
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
4.00
5.00
6.00
7.00
8.00
9.00
0 5 10 15 20 25 30
0360720108014401800
2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
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