The bottom line is that yield curves
contain important information for business cycle analysis, but like other indicators, should be interpreted with caution.
Barclays says it aims to extract alpha from term premium in the short end of the yield curves
in a "fully transparent and liquid way" by trading LIBOR futures contracts.
Stander describes how to fit the empirical models to coupon-paying bonds; how to derive yield curves
from various financial instruments; the relationship between nominal rates, real interest rates, and inflation rates; the factors that drive credit, liquidity, and country risk premiums; and the types of risks that have to be minimized when a yield curve
model is put together.
Interest Rates, Yield Curves
, and the Monetary Regime," Federal Reserve Bank of Cleveland, Economic Commentary (June).
The great disparity between short and long term rates bas created one of the steepest yield curves
Once the treasury department has established the company's need for liquidity, the investor should begin with an analysis of the yield curves
of the various instruments available (the yield curve
is the rate of return for various maturities).
It may be reduced to an extent by the recent emphasis on a variety of financial market variables, such as yield curves
and exchange rates, that incorporate market expectations about future levels of real interest rates and inflation.
The paper addresses the question of how to simulate bond yield curves
in an insurance company's financial model.
The points made about regimes, inflation, and yield curves
have neglected some very important issues.
com/reports/c28778) has announced the addition of E-Learning Course: Yield Curves
to their offering.
1 - Bond and Money Markets examines and explains the mathematics of: money rates, CDs, bills, promissory notes, repos bond pricing, yields and yield curves
frequency and convention issues project arithmetic, leasing, IRR, NPV floating rate securities hedging and risk management in fixed income structures duration, modified duration/volatility convexity and cash-flow dispersion.
The system provides over 20 benchmark government yield curves
and more than 40 currencies, all updated daily from FT Interactive Data.