Yield curve: Difference between revisions
imported>Doug Williamson (Layout.) |
imported>Doug Williamson (Link with No-arbitrage page.) |
||
| Line 10: | Line 10: | ||
If any one of the curves is known, then each of the other two can be calculated by using no-arbitrage pricing assumptions. | If any one of the curves is known, then each of the other two can be calculated by using [[no-arbitrage]] pricing assumptions. | ||
The shape of today's yield curve is influenced by - but not entirely determined by - the market's expectations about future changes in market rates. | The shape of today's yield curve is influenced by - but not entirely determined by - the market's expectations about future changes in market rates. | ||
Revision as of 09:05, 13 November 2015
Market rates for different maturities of funds are usually different, with longer term rates often - but not always - being higher.
A yield curve describes today’s market rates per annum on fixed rate funds for a series of otherwise comparable securities, having different maturities.
There are three ways of expressing today’s yield curve:
- Zero coupon yield curve.
- Forward yield curve.
- Par yield curve.
If any one of the curves is known, then each of the other two can be calculated by using no-arbitrage pricing assumptions.
The shape of today's yield curve is influenced by - but not entirely determined by - the market's expectations about future changes in market rates.
The yield curve is sometimes also known as the Term structure of interest rates.
See also
- Bootstrap
- Expectations theory
- Falling yield curve
- Fisher-Weil duration
- Forward yield
- Inverse yield curve
- Negative yield curve
- Net interest risk
- Par yield
- Positive yield curve
- Riding the yield curve
- Spread risk
- Yield curve risk
- Zero coupon yield
Other links
Treasury essentials: Yield curves, The Treasurer, September 2013
