imported>Doug Williamson |
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| Market rates for different maturities of funds are usually different, with longer term rates often - but not always - being higher.
| | == Summary == |
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| 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.
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| There are three ways of expressing today’s yield curve:
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| #Zero coupon yield curve.
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| #Forward yield curve.
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| #Par yield curve.
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| If any one of the curves is known, then each of the other two can be calculated by using [[no-arbitrage]] pricing assumptions.
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| 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.
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| The yield curve is sometimes also known as the Term structure of interest rates.
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| == See also == | |
| * [[Bootstrap]]
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| * [[Expectations theory]]
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| * [[Falling yield curve]]
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| * [[Fisher-Weil duration]]
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| * [[Flat yield curve]]
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| * [[Forward yield]]
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| * [[Inverse yield curve]]
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| * [[Negative yield curve]]
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| * [[Net interest risk]]
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| * [[Par yield]]
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| * [[Positive yield curve]]
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| * [[Riding the yield curve]]
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| * [[Rising yield curve]]
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| * [[Spread risk]]
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| * [[Yield curve risk]]
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| * [[Zero coupon yield]]
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| ===Other links===
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| [http://www.treasurers.org/node/9361 Treasury essentials: Yield curves, The Treasurer, September 2013]
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| [http://www.treasurers.org/node/9356 Students: Simple solutions, The Treasurer, September 2013]
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| [[Category:Long_term_funding]]
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| [[Category:Manage_risks]]
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| [[Category:Liquidity_management]]
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