Somebody was commenting here that they thought the sun would rise from the Boston (south) side of the river in the morning, but in fact it rises from the Cambridge (north) side these days. A little more than ten years ago, sitting in my northern-latitude abode watching the sun set into the northwest, I wondered the same confused thing: why does the sun appear to venture into the northern part of the sky? (For reference, the sun’s direct projection on the earth never crosses north of the tropic of cancer, and that is south of here.)
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It occured to me the other day that based on certain models of the yield curve, it should make predictions about itself. It would be interesting to know how often it has been correct though.

As a start, we can convert the daily yield curve into implied short-term rates in the future. For instance, using the treasury yields as published here yesterday, we get these implied average rates over certain durations:

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Here is a problem recently described to me. Apparently there is a more elegant solution (which may give more insight), but I don’t see it yet.

The problem: \(X, Y, Z\) are independent random variables uniformly distributed over [0,1]. What is the distribution of \((XY)^Z\)?
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