Speculator and Yield curve: Difference between pages
imported>Doug Williamson (Create page. Sources: Linked pages.) |
imported>Doug Williamson (Qualify description of per annum.) |
||
Line 1: | Line 1: | ||
A market | 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 (usually 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]] | ||
* [[Flat yield curve]] | |||
* [[Forward yield]] | |||
* [[Inverse yield curve]] | |||
* [[Negative yield curve]] | |||
* [[Net interest risk]] | |||
* [[Par yield]] | |||
* [[Positive yield curve]] | |||
* [[Riding the yield curve]] | * [[Riding the yield curve]] | ||
* [[ | * [[Rising yield curve]] | ||
* [[ | * [[Spread risk]] | ||
* [[ | * [[Yield curve risk]] | ||
* [[ | * [[Zero coupon yield]] | ||
===Other links=== | |||
[http://www.treasurers.org/node/9361 Treasury essentials: Yield curves, The Treasurer, September 2013] | |||
[http://www.treasurers.org/node/9356 Students: Simple solutions, The Treasurer, September 2013] | |||
[[Category: | [[Category:Long_term_funding]] | ||
[[Category:Manage_risks]] | [[Category:Manage_risks]] | ||
[[Category: | [[Category:Liquidity_management]] | ||
Revision as of 14:25, 17 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 (usually 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