View Full Version : Question on interest rate risk measurement
03-25-2007, 10:35 AM
Does anybody know the difference between the par yield curve and the spot rate curve? Thanks !
03-25-2007, 10:55 AM
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).
03-26-2007, 09:12 AM
What Gandalf wrote sounds correct to me.
03-26-2007, 10:11 AM
Thanks very much !
vBulletin® v3.7.6, Copyright ©2000-2013, Jelsoft Enterprises Ltd.