Beneficiary and Yield curve: Difference between pages
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Market rates for different maturities of funds are usually different, with longer term rates often - but not always - being higher. | |||
A | 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 == | == 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]] | |||
==Other links== | |||
[http://www.treasurers.org/node/9356 Simple solutions, The Treasurer, September 2013] | |||
Revision as of 13:24, 2 October 2013
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
- Zero coupon yield
