A Model of the Convenience Yields in On-the-Run Treasuries

• 1 August 2004
• journal article
• Published by Springer Nature in Review of Derivatives Research
• Vol. 7  (2) , 79-97
• https://doi.org/10.1023/b:redr.0000031174.07795.51

Abstract

Keywords

• RUN TREASURIES
• MODEL OF THE CONVENIENCE YIELDS
• YIELDS IN ON THE RUN