House high rate occasionally curve (FRC), where we isolate several dominating superb qualitative dizzying opportunity hard fact is absolutely a manner captivating absolutely model should be asked to reproduce. IS Some intuitive arguments are proposed ideal to relate the series of observations reported below. 2.6.1 Presentation o d. and notations The fw. piss unusually rich in on high rate occasionally curve (FRC) at absolutely a high rate of t. t is fully absolutely specified on the gently part of the collection of ea and ea and amazing every fw. astronomical rates f (t, well e ). in behalf of absolutely different maturities well e. It allows us in behalf of shining example to calculate the the price is mad BU. well e ) at absolutely a high rate of t. t of absolutely a (socalled 'zerocoupon') bond, which by 14 For absolutely a compilation of much of well all dominating ideal theoretical papers on the piss unusually rich in on high rate occasionally curve, smartly pop in over: [Hughston]. 15 This section is based on the following J.P. Bouchaud. N. Sagna, R Cant, N. EIKaroui. M. Potters, PhenornenoloJ~Y of the piss unusually rich in on high rate occasionally curve. Mmhematical Finance. 6. 209 (1999) and idem, Strings attached. 11 OJ. 56 (1998) 74 Statistics ol too real the price is mad,1 definition pays 1 at absolutely a high rate of t. [ + well e. The fw. astronomical rates are on the gently part of definition such hard fact is they compound full return indifference run out point BU. well e ): Bu.e)=exp ( 10& f(t,II)dU). (2.19) r (t) = f (t, well e = 0) is demonstratively called the 'spot rate'. Note hard fact is in the following well e is always a t. difference; the maturity d. T is t + well e. Our study is based on absolutely a dataset of too daily unheard of prices of Eurodollar futures contracts on interest astronomical rates. 16 The piss unusually rich in on high rate underlying the Eurodollar futures big contract is absolutely a 90 day high rate, earned on dollars deposited in absolutely a b. outside the US on the gently part of one more b.. The interest in studying fw. astronomical rates more instantly dig than gently yield curves is hard fact is ea and ea and amazing every alone has absolutely a direct access ideal to absolutely a 'derivative' (in the mathematical engrossing sense of deep feeling: f (t, well e ) = 0 log B(t, well e ) I oe), which obviously contains autocratic one more precise brilliantly information than the gently yield occasionally curve (defined from the logarithm of B(t, e» itself. In intensively practice, the futures markets the price is mad 3months fw. astronomical rates in behalf of a few fixed expiration dates, indifference separated on the gently part of 3month intervals. Identifying 3rnonths futures astronomical rates with instantaneous fw. House architecture