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Yieldcurv

This document discusses interest rate concepts and curve construction. It begins by explaining how interest rates compensate for borrowing or lending over time. It then reviews pricing discount bonds in discrete and continuous time, and examines the relationship between spot and forward interest rates. The intuition is that the forward curve represents the change in the spot rate curve over time. Small changes in the spot curve can correspond to large changes in the forward curve.

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Su Fen Lee
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© Attribution Non-Commercial (BY-NC)
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Download as PDF, TXT or read online on Scribd
0% found this document useful (0 votes)
41 views8 pages

Yieldcurv

This document discusses interest rate concepts and curve construction. It begins by explaining how interest rates compensate for borrowing or lending over time. It then reviews pricing discount bonds in discrete and continuous time, and examines the relationship between spot and forward interest rates. The intuition is that the forward curve represents the change in the spot rate curve over time. Small changes in the spot curve can correspond to large changes in the forward curve.

Uploaded by

Su Fen Lee
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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