scholarly journals Interest-Rate Modeling with Multiple Yield Curves

2010 ◽  
Author(s):  
Andrea Pallavicini ◽  
Marco Tarenghi
Keyword(s):  
Interest Rate ◽  
Yield Curves

Yield Curves, Swap Curves, and Term Structure of Interest Rates

2019 ◽  
pp. 203-228
Author(s):  
Tom P. Davis ◽  
Dmitri Mossessian
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Yield Curves ◽  
No Arbitrage ◽  
Interest Rate Swap ◽  
The Interest Rate ◽  
Rate Swap ◽  
The U.S

This chapter discusses multiple definitions of the yield curve and provides a conceptual understanding on the construction of yield curves for several markets. It reviews several definitions of the yield curve and examines the basic principles of the arbitrage-free pricing as they apply to yield curve construction. The chapter also reviews cases in which the no-arbitrage assumption is dropped from the yield curve, and then moves to specifics of the arbitrage-free curve construction for bond and swap markets. The concepts of equilibrium and market curves are introduced. The details of construction of both types of the curve are illustrated with examples from the U.S. Treasury market and the U.S. interest rate swap market. The chapter concludes by examining the major changes to the swap curve construction process caused by the financial crisis of 2007–2008 that made a profound impact on the interest rate swap markets.

The PPP View of Multihorizon Currency Risk Premiums

2020 ◽  
Author(s):  
Mikhail Chernov ◽  
Drew Creal
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Weak Form ◽  
Nominal Exchange Rate ◽  
Discount Factor ◽  
Stochastic Discount Factor ◽  
Current Interest ◽  
Yield Curves ◽  
Risk Premiums ◽  
Nonmonotonic Function

Abstract Exposures of expected future nominal depreciation rates to the current interest rate differential violate the UIP hypothesis in a pattern that is a nonmonotonic function of horizon. Forward expected nominal depreciation rates are monotonic. We explain the two patterns by simultaneously incorporating the weak form of PPP into a joint model of the stochastic discount factor, the nominal exchange rate, and domestic and foreign yield curves. Departures from PPP generate the first pattern. The risk premiums for these departures generate the second pattern. Thus, the variance of the stochastic discount factor is related to the real exchange rate.

Debt Markets and Investments

2019 ◽  
pp. 3-22
Author(s):  
H. Kent baker ◽  
Greg Filbeck ◽  
Andrew C. Spieler
Keyword(s):  
Interest Rate ◽  
Portfolio Management ◽  
Final Section ◽  
Interest Rate Models ◽  
Yield Curves ◽  
Intended Audience ◽  
Future Outlook ◽  
Bond Valuation ◽  
Debt Markets ◽  
Distinguishing Features

This chapter begins by providing a brief background on debt markets and investments including basic bond terminology and market sectors. It also discusses bond risks and products including securitized products. The chapter then explains the book’s purpose, its distinguishing features, and intended audience. Next, it outlines the book’s structure consisting of eight parts: (1) background, (2) market sectors, (3) yield curves, swap curves, and interest rate models, (4) bond products, (5) securitized products, (6) bond valuation and analysis, (7) special topics, and (8) strategies, portfolio management, and future outlook. The chapter then presents an abstract of each chapter within its appropriate topic heading. The final section offers a summary and conclusions.

scholarly journals Facts, Factors, and Questions

2013 ◽  
Author(s):  
Francis X. Diebold ◽  
Glenn D. Rudebusch
Keyword(s):  
Interest Rate ◽  
Central Bank ◽  
Yield Curve ◽  
Curve Shape ◽  
Bond Yields ◽  
Yield Curves ◽  
Bond Yield ◽  
Macroeconomic Fundamentals ◽  
Bank Behavior ◽  
Theoretical Considerations

This chapter introduces some important conceptual, descriptive, and theoretical considerations regarding nominal government bond yield curves. Conceptually, just what is it that are we trying to measure? How can we best understand many bond yields at many maturities over many years? Descriptively, how do yield curves tend to behave? Can we obtain simple yet accurate dynamic characterizations and forecasts? Theoretically, what governs and restricts yield curve shape and evolution? Can we relate yield curves to macroeconomic fundamentals and central bank behavior? The discussions cover three interest rate curves, zero-coupon yields, yield curve facts, yield curve factors, and yield curve questions.

Sign in / Sign up

Export Citation Format

Share Document