Question on interest rate risk measurement

[Jason]

Does anybody know the difference between the par yield curve and the spot rate curve? Thanks !

[Gandalf]

Maybe.

The spot rate curve is for zero-coupon bonds (or equivalently, for loans where you borrow today and pay off in a lump sum at the end of n years).

I haven't heard of the par yield curve, but from the name I would guess that the n-year rate on the par yield curve is the coupon rate such that an n-year bond would sell at par. (maybe expressed as a nominal rate convertible semiannually, since most bonds pay semi-annual coupons).

[campbell]

What Gandalf wrote sounds correct to me.

[Jason]

Thanks very much !