1. A risk-neutral, arbitrage-free model of Treasury yields means that at all future dates the price of any long-term bond equals the expected value of rolling short-term to maturity. For more details, see Fischer Black, Emmanuel Derman, and William Toy, “A One-Factor Model of Interest Rates and its Application to Treasury Bond Options,” Financial Analyst Journals (January–February 1990), pp. 33–39.

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