{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2025:ZBEMAC6AFQELYKHEU4FSD2J33Z","short_pith_number":"pith:ZBEMAC6A","schema_version":"1.0","canonical_sha256":"c848c00bc02c08bc28e4a70b21e93bde5577bc4d03dd2601ed8f1c120d66944f","source":{"kind":"arxiv","id":"2506.06317","version":1},"attestation_state":"computed","paper":{"title":"A Sinusoidal Hull-White Model for Interest Rate Dynamics: Capturing Long-Term Periodicity in U.S. Treasury Yields","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["q-fin.CP"],"primary_cat":"q-fin.ST","authors_text":"Amit Kumar Jha","submitted_at":"2025-05-27T09:09:41Z","abstract_excerpt":"This study is motivated by empirical observations of periodic fluctuations in interest rates, notably long-term economic cycles spanning decades, which the conventional Hull-White short-rate model fails to adequately capture. To address this limitation, we propose an extension that incorporates a sinusoidal, time-varying mean reversion speed, allowing the model to reflect cyclic interest rate dynamics more effectively.\n  The model is calibrated using a comprehensive dataset of daily U.S. Treasury yield curves obtained from the Federal Reserve Economic Data (FRED) database, covering the period "},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"2506.06317","kind":"arxiv","version":1},"metadata":{"license":"http://creativecommons.org/licenses/by/4.0/","primary_cat":"q-fin.ST","submitted_at":"2025-05-27T09:09:41Z","cross_cats_sorted":["q-fin.CP"],"title_canon_sha256":"2217f6f96c85bc248686c2ba466b57de40fb2927663b87b188d169c1230fd1ca","abstract_canon_sha256":"89b05a60a2ceaa8fc3d46ec11fa4fa8410ac9f57a73782d0b9421a17fe1b566b"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-07-05T11:17:47.938525Z","signature_b64":"fhmxcnXS7h4Kn145Albnp1xShozmYFdoTpjLZJzUlTwiRq4x8BGY1y6MwcMNoTBnibBxyRlBfM3Cz+jxU/ckBw==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"c848c00bc02c08bc28e4a70b21e93bde5577bc4d03dd2601ed8f1c120d66944f","last_reissued_at":"2026-07-05T11:17:47.938069Z","signature_status":"signed_v1","first_computed_at":"2026-07-05T11:17:47.938069Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"A Sinusoidal Hull-White Model for Interest Rate Dynamics: Capturing Long-Term Periodicity in U.S. Treasury Yields","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["q-fin.CP"],"primary_cat":"q-fin.ST","authors_text":"Amit Kumar Jha","submitted_at":"2025-05-27T09:09:41Z","abstract_excerpt":"This study is motivated by empirical observations of periodic fluctuations in interest rates, notably long-term economic cycles spanning decades, which the conventional Hull-White short-rate model fails to adequately capture. To address this limitation, we propose an extension that incorporates a sinusoidal, time-varying mean reversion speed, allowing the model to reflect cyclic interest rate dynamics more effectively.\n  The model is calibrated using a comprehensive dataset of daily U.S. Treasury yield curves obtained from the Federal Reserve Economic Data (FRED) database, covering the period "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2506.06317","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2506.06317/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"aliases":[{"alias_kind":"arxiv","alias_value":"2506.06317","created_at":"2026-07-05T11:17:47.938139+00:00"},{"alias_kind":"arxiv_version","alias_value":"2506.06317v1","created_at":"2026-07-05T11:17:47.938139+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.2506.06317","created_at":"2026-07-05T11:17:47.938139+00:00"},{"alias_kind":"pith_short_12","alias_value":"ZBEMAC6AFQEL","created_at":"2026-07-05T11:17:47.938139+00:00"},{"alias_kind":"pith_short_16","alias_value":"ZBEMAC6AFQELYKHE","created_at":"2026-07-05T11:17:47.938139+00:00"},{"alias_kind":"pith_short_8","alias_value":"ZBEMAC6A","created_at":"2026-07-05T11:17:47.938139+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/ZBEMAC6AFQELYKHEU4FSD2J33Z","json":"https://pith.science/pith/ZBEMAC6AFQELYKHEU4FSD2J33Z.json","graph_json":"https://pith.science/api/pith-number/ZBEMAC6AFQELYKHEU4FSD2J33Z/graph.json","events_json":"https://pith.science/api/pith-number/ZBEMAC6AFQELYKHEU4FSD2J33Z/events.json","paper":"https://pith.science/paper/ZBEMAC6A"},"agent_actions":{"view_html":"https://pith.science/pith/ZBEMAC6AFQELYKHEU4FSD2J33Z","download_json":"https://pith.science/pith/ZBEMAC6AFQELYKHEU4FSD2J33Z.json","view_paper":"https://pith.science/paper/ZBEMAC6A","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=2506.06317&json=true","fetch_graph":"https://pith.science/api/pith-number/ZBEMAC6AFQELYKHEU4FSD2J33Z/graph.json","fetch_events":"https://pith.science/api/pith-number/ZBEMAC6AFQELYKHEU4FSD2J33Z/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/ZBEMAC6AFQELYKHEU4FSD2J33Z/action/timestamp_anchor","attest_storage":"https://pith.science/pith/ZBEMAC6AFQELYKHEU4FSD2J33Z/action/storage_attestation","attest_author":"https://pith.science/pith/ZBEMAC6AFQELYKHEU4FSD2J33Z/action/author_attestation","sign_citation":"https://pith.science/pith/ZBEMAC6AFQELYKHEU4FSD2J33Z/action/citation_signature","submit_replication":"https://pith.science/pith/ZBEMAC6AFQELYKHEU4FSD2J33Z/action/replication_record"}},"created_at":"2026-07-05T11:17:47.938139+00:00","updated_at":"2026-07-05T11:17:47.938139+00:00"}