Callable U.S. Treasury bonds: optimal calls, anomalies, and implied volatilities

Previous studies on interest rate derivatives have been limited by the relatively short history of most traded derivative securities. The prices for callable U.S. Treasury securities, available for the period 1926–95, provide the sole source of evidence concerning the implied volatility of interest rates over this extended period. Using the prices of callable, as well as non-callable, Treasury instruments, this paper estimates implied interest rate volatilities for the past seventy years. Our technique for estimating implied volatilities enables us to address two important issues concerning callable bonds: the apparent presence of negative embedded option values and the optimal policy for calling these, and similarly structured, deferred-exercise embedded option bonds. ; In examining the issue of negative option value callable bonds, our technique enables us to extend significantly both the sample period and sample breadth beyond those covered by other investigators of this phenomenon and to resolve the inconsistencies in their results. We show that the frequency of mispriced bonds is time-varying and that there also exist irrationally underpriced bonds. Critically, both anomalies are shown to be related to volatility-insensitive, away-from-the-money bonds. ; In contrast to the naive call decision rules suggested by previous authors, we develop the option-theoretic optimal call policy for deferred-exercised "Bermuda"-style options for which prior notification of intent to call is required. We do this by introducing the concept of "threshold volatility" to measure the point at which the time value of the embedded call option has been eroded to zero. By using this concept, we address the valuation of such bonds and document the frequent optimality of the Treasury's past call decisions for U.S. government obligations.Derivative securities ; Government securities

Acoustical modeling study of the open test section of the NASA Langley V/STOL wind tunnel

An acoustic model study was carried out to identify effective sound absorbing treatment of strategically located surfaces in an open wind tunnel test section. Also an aerodynamic study done concurrently, sought to find measures to control low frequency jet pulsations which occur when the tunnel is operated in its open test section configuration. The acoustical modeling study indicated that lining of the raised ceiling and the test section floor immediately below it, results in a substantial improvement. The aerodynamic model study indicated that: (1) the low frequency jet pulsations are most likely caused or maintained by coupling of aerodynamic and aeroacoustic phenomena in the closed tunnel circuit, (2) replacing the hard collector cowl with a geometrically identical but porous fiber metal surface of 100 mks rayls flow resistance does not result in any noticable reduction of the test section noise caused by the impingement of the turbulent flow on the cowl

The Transformation of Percentages for Use in the Analysis of Variance

Author Institution: Institute of Plant Protection, Leningrad, U. S. S. R

A study of Sclerospora Graminicola (Sacc.) Schroet. on Setaria Viridis (L.) Beauv. and Zea Mays L.

Conidial sporulation of Sclerospora graminicola has been observed in the day time occurring naturally in the field and under artificial conditions in the laboratory. The period required for the development of mature conidia lies between 4 hours 35 minutes and 111/2 hours. The conditions which seem necessary for the production of conidia, whether during the day or night, are: a completely saturated atmosphere, turgid host leaves, a slight moisture film on the surface of the leaves and a temperature ranging between 8° and 27 °C. When flooded into a drop of water immediately after being discharged, conidia were found to germinate after 60 minutes. The best germination was obtained at 15°C., but the optimum was not definitely determined. Normal conidia measure 14-23 x 11-17µ. Sometimes larger conidia are produced (43 x 18.6µ) . The average length of conidiophores of Sclerospora graminicola was found to be 267.8µ while the individuals measured ranged from 214.5 to 375.3µ, a variation of 160.8µ. Spores were found to be forcefully discharged from the conidiophores thru a distance of 2.5 mm. vertically and 1.89 mm. horizontally. Setaria viridis, S. italica, Zea mays (May\u27s Golden popcorn) and Euchlaena mexicana were infected with Sclerospora graminicola when exposed to the conidia of the mildew. Oospores of Sclerospora graminicola were found to overwinter naturally in field soil under Iowa conditions. In one test, oospores which overwintered outdoors gave nearly twice as much infection on Setaria viridis and Zea Mays (Japanese Hulless popcorn) as did the oospores which were kept in the laboratory, Plants from five genera of Gramineae were found to be susceptible hosts to Sclerospora graminicola. These are: Euchlaena, Setaria, Holcus, Saccharum and Zea. Setaria viridis was found to be the most susceptible of all hosts and popcorn more susceptible than sweet corn and dent corn. Six days were found to be the usual period of incubation between the time oospores were placed on the seeds and that when conidial fruiting appeared on the leaves. Infection by oospores was obtained from the time the testa was broken until the emergence of the plumule above ground. Relative susceptibility of seedlings decreases with age. The processes connected with infection are more greatly favored by temperatures of 15° to 16°C. than by temperatures of 24° to 30°C. The germinating oospore is evidently unable to penetrate older leaf tissue. The viability of oospores was little affected by soaking in 2 percent copper sulfate solutions for 10 minutes, while similar treatment in 1 percent formaldehyde for 5 minutes proved fatal. The killing action of mercuric chloride 1-1000 was not so great as that of formaldehyde. Freshly collected oospores which were held in a dry condition at 77°C. for 1 hour later gave 52 percent infection on Setaria viridis, while wet spores lost their viability to a marked degree when held at 50°C. for a similar period. Sclerospora graminicola was studied in the field during the summers of 1925, 1926 and 1927. Infection was obtained on corn and teosinte planted in plots which had been artificially infested with oospores. Spontaneous conidial sporulation was found to be comparatively rare on corn in the field altho it was observed in 1926 and 1927 on young seedlings during periods of high humidity and cool temperatures. Infected plants were either killed outright or became stunted and unproductive. A few plants apparently outgrew the attack. In Iowa, Sclerospora graminicola has been observed only twice occurring naturally on corn in the field. Oospores of Sclerospora graminicola which had been held 30 months under dry conditions in the laboratory were found to be viable. Presoaking of oospores does not seem to affect the percentage of infection. Soil is not necessary as a medium for the germination of oospores

Local and non-local controls on seasonal variations in water availability and use by riparian trees along a hydroclimatic gradient

As global climate change continues to impact regional water cycles, we may expect further shifts in water availability to forests that create challenges for certain species and biomes. Lowland deciduous riparian forests are particularly vulnerable because tree species cannot migrate out of the stream corridor, and they rely on root zone water availability that is controlled by variations in both local climate conditions (e.g. precipitation, evaporation, and infiltration) and non-local hydroclimatic forcing (e.g. streamflow, snowmelt, recharge). To determine how the seasonal water source usage of riparian trees is controlled by local versus non-local variability in hydroclimatic regime, we reconstructed the seasonal oxygen isotope (δ18O) signature of water used by two riparian tree species with contrasting rooting depths, comprising ~800 δ18O tree-ring cellulose measurements from 12 tree-level decadal time-series at sub-annual resolution (six samples per year), along a strong hydroclimatic gradient within the Rhône River basin, SE France. These results were evaluated alongside δ18O measurements made from potential endmember water sources and independent hydroclimatic metrics. Thus we characterize the seasonal evolution of both potential water availability at distinct rooting depths and tree water source use and investigate the generalized riparian tree response to seasonal variations in local versus non-local hydroclimatic forcing over a decade. We show: (a) distinct seasonal water use between species, based on differential access to groundwater; (b) substantial source switching in both species based on evolving water availability; and (c) that riparian trees are more dependent on locally controlled soil moisture with distance downstream, creating increased vulnerability to locally increasing temperatures. We also find that deeply rooted trees in lowland riparian floodplains are potentially vulnerable to climate change because of their high dependence on water supply from mountains. This effect is more pronounced downstream, where seasonal water table decline may lead to loss of water required for deeply rooted trees