Abstract
In this chapter, we depart from the flat yield concept (see Definition 3.6) as discussed in Chap. 3. The flat yield concept allows different discount factors for different bonds although cash flow occurs at the same time in the future. The concept of time value of money does not allow this situation and spot curves avoid this deficiency. Figure 4.1 shows the backbone of this chapter. We discuss the transition from yield curve to spot curves and spot curves to forward curves.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Nicola A, Francis B, Mark D, Andrew D, Gareth M (1997) Estimating and interpreting the yield curve. Wiley, Chichester
Moorad C (2004) Analyzing and interpreting the yield curve. Wiley, Singapore
Christian B (1974) Analysis I, II, III. Springer, Berlin
Walter G, Ludger O (1998) Nie mehr Bootstrapping. Schweizerische Gesellschaft für Finanzforschung Finanzmarkt und Portfolio Management, Luzern, pp 59–73
Marty Wolfgang (2009) A Newton-Raphson method for numerically constructing invariant curves. Dissertation, University of Zurich
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2017 Springer International Publishing AG
About this chapter
Cite this chapter
Marty, W. (2017). The Term Structure of Interest Rate. In: Fixed Income Analytics. Springer, Cham. https://doi.org/10.1007/978-3-319-48541-6_4
Download citation
DOI: https://doi.org/10.1007/978-3-319-48541-6_4
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-48540-9
Online ISBN: 978-3-319-48541-6
eBook Packages: Economics and FinanceEconomics and Finance (R0)