A. J. G. Cairns And A. D. Wilkie Publish New Research On The New Yield Curve For The FTSE-Actuaries BGS Indices

FTSE announced a number of enhancements to the FTSE Actuaries UK Gilts Index Series.

Effective 28 April 2014, FTSE introduced a new enhanced methodology for the calculation of the yield index product for conventional gilts.

For an academic discussion of the new yield curve methodology by David Wilkie and Andrew Cairns please click here.