Yield curve

Market rates for different maturities of funds are usually different, with longer term rates usually - 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:

1. Zero coupon yield curve.
2. Forward yield curve.
3. 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
• Zero coupon yield