Yield curve: Difference between revisions
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* [[Falling yield curve]] | * [[Falling yield curve]] | ||
* [[Fisher-Weil duration]] | * [[Fisher-Weil duration]] | ||
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* [[Forward yield]] | * [[Forward yield]] | ||
* [[Inverse yield curve]] | * [[Inverse yield curve]] | ||
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* [[Positive yield curve]] | * [[Positive yield curve]] | ||
* [[Riding the yield curve]] | * [[Riding the yield curve]] | ||
* [[Rising yield curve]] | |||
* [[Spread risk]] | * [[Spread risk]] | ||
* [[Yield curve risk]] | * [[Yield curve risk]] | ||
Revision as of 09:56, 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
- Flat yield curve
- Forward yield
- Inverse yield curve
- Negative yield curve
- Net interest risk
- Par yield
- Positive yield curve
- Riding the yield curve
- Rising yield curve
- Spread risk
- Yield curve risk
- Zero coupon yield
Other links
Treasury essentials: Yield curves, The Treasurer, September 2013
