yield curve -凯发k8网页登录

a yield curve is a graph that plots interest rates or yields of similar fixed-income instruments with differing maturities across time. the curve creates a visual representation of the term structure of interest rates. by aggregating lender priorities over time for a particular borrower or credit risk profile, yield curves enable you to study financial market conditions and analyze potential investments or trading opportunities.

yield curves are borrower-specific, so different curves are constructed for sovereign debt (e.g., the us treasury default-free curve), the interbank markets (the swap curve), and corporate debt (a credit spread over the swap curve).

they are typically constructed and calibrated to the market prices of a variety of fixed-income instruments, including government debt, money market rates, short-term interest rate futures, and interest rate swaps. to build a smooth and consistent curve, you use a combination of bootstrapping, curve fitting, and interpolation techniques. these curves, once constructed, can then be used to price other otc derivatives consistently with the markets.

for more information, see matlab^® toolboxes for finance, data feeds, financial instruments, statistics, and curve fitting.