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Financial Models

The Yield Book's financial models are market-tested by Citigroup Global Markets traders, sales and research professionals, and customers.
  • Models calculate consistent risk and return measures for all security types
  • Quality of The Yield Book Inc.' models is complemented by the sophistication of its architecture -- users can execute computationally intensive calculations quickly
  • Flexible settings in the models enable user-customized analysis

See sample screens:

Yield Curve Models
Treasury Model Curve
LIBOR Swap Curve
Corporate Credit Curves
Government (Global) Curves
Swap (Major Currencies) Curves
On-the-run
Fitted Live and Historical

  Prepayment Models
Mortgage Prepay Model
ABS Issuer Specific Prepayment Models
Japanese GHLC Model
Dutch Model
CMBS Default Model
Term Structure of Volatility Models
Market Volatilities
Historical Volatility

  Futures Delivery Option Model





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