2010/02/23
yield curve based on yield curve
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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