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The PCA analysis does not really tell you what the bonds do but it tells you how the rates move together. The variations of $n$ rates (i.e. 1 y, 2y, ...) are split up in (at first) abstract factors like $$ \Delta R_i = \sum_{j=1}^n e_{i,j} f_j $$ where $\Delta R_i$ is the change in the rate $i$ and $f_j$ is factor $j$ and $e_{i,j}$ is the (factor loading=) ...


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If you are not able to find a data set, containing the dividend yield information for all the companies listed in ASX20/50/100/200/300, the only way is for you to make it by researching the companies. However I found this dividend yield scan to get you started. Once you have the dividend yield rate for all the stocks in the given index, it is just a matter ...


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USGG10Y is the rolling 10-year on-the-run series. On each day, it reflects the yield of the current 10-year on-the-run note. On an auction date, after a new 10-year Treasury is issued, it starts tracking the new 10-year bond yield. The default USGG10Y series is a composite quote from a few dealers. But frankly, given the liquidity and depth of the Treasury ...


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Some models do use ln(r_t), like Black–Derman–Toy and the Black–Karasinski models. Mainly to avoid negative interest rates in low rates / high volatility environments through the use of the log-normal distribution. Negative rates can wreak havoc in option premiums for example. They are interest rates indeed, that we call short rates, not yield on ...


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These are not yield. They are instantaneous short rates which are not directly observable in the market.


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Simply speaking, return means relative amount of extra money earned after investing of some amount of money: Return = $\frac{Received}{Invested}-1$. If you invested \$100 and received \$100, this means you have zero return (\$100/\$100-1). If you invested \$100 and received \$110, your return in 10% (\$110/\$100-1 = 1.1-1 = 0.1 = 10%). Next step is ...



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