Curves: A Sophisticated Yield Curve Model

SmartModels Curves is designed to help analysts understand the historical movements of user-supplied term curves through the use of Principal Component Analysis (PCA), otherwise referred to as "factor analysis." Based upon this analysis, the user may select a hedge horizon over which to simulate changes in market yield curves, and, subsequently, the change in the value of portfolios comprised of various financial instruments. The analytics underlying Curves allow analysts to more completely understand the true nature of term curve changes through time and ultimately, hedging relationships.