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Salomon Brothers: Understanding the Yield Curve

by Salomon Brothers

The Salomon Brothers' "Understanding the Yield Curve" series (1995) remains influential in fixed-income markets for introducing sophisticated yield curve analysis concepts to practitioners. The series popularized key concepts like forward rate analysis, duration extension strategies, and convexity bias among institutional investors and portfolio managers. Its clear explanation of complex fixed-income mathematics helped establish modern yield curve trading and relative value frameworks still used today.

• Part 1: Overview of Forward Rate Analysis
• Part 2: Market's Rate Expectations and Forward Rates
• Part 3: Does Duration Extension Enhance Long-Term Expected Returns?
• Part 4: Forecasting US Bond Returns
• Part 5: Convexity Bias and the Yield Curve
• Part 6: A Framework for Analyzing Yield Curve Trades
• Part 7: The Dynamics of the Shape of the Yield Curve