A collection of historically important and hard to find academic and industry research papers relevant to yield curve analysis, fixed-income, and the capital markets.

Instructions

  • click on any paper title to access the PDF or source
  • papers are organized by source
  • click the sparkle button to discuss any paper with ChatYCP (login required)

Notes

  • they are hosted...free of charge!
  • try asking ChatYCP: "What are the main findings of this paper?" or "How does this relate to term premium estimation?"
Latest Classic Popular
February 10, 2026 yieldcurve.pro
Lehman Brothers Repo Manual Classic

by Lehman Brothers

A reference guide for sales people engaging in Repurchase Agreements, covering the repo product, ledgers, sales credit schedule, credit risk management and margin issues, booking systems and documentation.

Tags: repo, repurchase agreements, fixed income, credit risk

Read

February 10, 2026 yieldcurve.pro
Salomon Brothers: Understanding Duration and Volatility Classic

by Salomon Brothers

Explains duration and convexity in a non-mathematical framework. Illustrates the correct use of duration for hedging, swapping, and arbitrage, and demonstrates alternative weighting tools.

Tags: duration, convexity, volatility, hedging, fixed income

Read

February 10, 2026 yieldcurve.pro
Salomon Brothers: Understanding the Yield Curve Classic

by Salomon Brothers

The influential 1995 series that popularized forward rate analysis, duration extension strategies, and convexity bias among institutional investors. Its clear explanation of complex fixed-income mathematics helped establish modern yield curve trading and relative value frameworks still used today.

Tags: yield curve, forward rates, duration, convexity, fixed income, relative value

Read

« Prev  |  1 2  |  Next »