Yield curve and File:700px-Wave-of-Changes-to-IFRS-Fig-1.jpg: Difference between pages

From ACT Wiki
(Difference between pages)
Jump to navigationJump to search
imported>Doug Williamson
(Qualify description of per annum.)
 
(== Summary == Importing files from local file repository)
Tag: Server-side upload
 
Line 1: Line 1:
Market rates for different maturities of funds are usually different, with longer term rates often - but not always - being higher.
== Summary ==
 
Importing files from local file repository
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===
[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:Long_term_funding]]
[[Category:Manage_risks]]
[[Category:Liquidity_management]]

Latest revision as of 09:28, 27 July 2023

Summary

Importing files from local file repository