Daily pricing for Bank of Jordan Yield Curve
Curves are constructed as per the following mechanism:
First: Jordanian Dinar:
- The Jordanian Treasury’s primary issuances are used as reference to evaluate the difference between them and the equivalent durations in the U.S. Treasury’s secondary market.
- Evaluating the average rate difference for a12-Period Moving Average Spread, considering that not all versions currently have such a number of issues.
- Excluding durations for which there exists less than 6 points, as well as those with an exaggerated Standard Deviation rate as a percentage of the average.
- Building a Basis Curve from the rate differences and updating this curve with each new Jordanian treasury issue.
- Updating the US Treasury rate curve by using prior-day rates, as obtained from the official U.S. Department of Treasury website.
- Building Bank of Jordan’s official interest curve daily by adding the basis curve to the U.S. Treasury rate curve.
Second: U.S. Dollar and Euro:
Using government treasury instruments and bond rates, as quoted in the secondary markets, to build interest rate curves for currencies with active secondary markets such as the U.S. dollar (USD) and the Euro (EUR).