1)国债默认是无风险的,所以yield curve和spread curve一般研究的是:有风险的公司债 --spread curve研究的是信用债,yield curve不一定,要看是什么曲线,比如基准收益率曲线,那对应研究的就是利率债(或者一般就是国债)。 2)yield curve是从收益的角度分析,而spread curve是从credit risk风险的角度分析 --没有这个说...
namely, zero-volatility spread orZ-spread. this is the appropriate yield curve spread, ...
An inverted yield curve occurs when yields on short-term bonds rise above the yields on longer-term bonds of the same credit quality, which has proven to be a relatively reliable indicator of an economic recession. The inverted yield curve can be observed when the yield spread between long-te...
Yield Curve Spread Trades, a.k.a curvetrades1, provide market participantsreturn generating and hedgingopportunities. Curve trades occur in themost liquid interest rate markets including U.S. Treasuries, futures, other government bonds, swaps and euro-dollars. Due to the operational simplicity and ...
spot curve,zero curve,strip curve,interpolate par curve,par rate forward curve,forward rate,break-even reinvestment rate 4、Yield Spread:利差,息差 View Code View Code View Code View Code key words: benchmark rate,yield spread,G-spread,I-spread,Z-spread,option-adjusted spread(OAS)...
The 10-2 Treasury Yield Spread is the difference between the 10 year treasury rate and the 2 year treasury rate. A 10-2 treasury spread that approaches 0 signifies a "flattening" yield curve. A negative 10-2 yield spread has historically been viewed as a precursor to a recessionary period...
是credit spread curve。这一章都是做信用风险策略,只看credit spread curve的相对改变。 而且因为这块是要用CDS做策略,CDS的标的物只是credit spread,所以必须要基于credit spread curve的相对改变分析。如果是yield curve的话,没办法分析出CDS策略/信用风险策略哈!
The 10 Year-3 Month Treasury Yield Spread is the difference between the 10 year treasury rate and the 3 month treasury rate. This spread is widely used as a gauge to study the yield curve. A 10 year-3 month treasury spread that approaches 0 signifies a "flattening" yield curve. Further...
Yield Curve Strategy Yield differential/pickup Yield Elbow yield equivalence yield gap Yield Maintenance yield maintenance premium Yield Pickup Yield ratio Yield spread yield spread premium Yield spread strategies Yield Spread Strategy yield to average life ...
I-spread stands for interpolated spread. It is the difference between yield on a bond and the swap rate, i.e. the interest rate applicable to the fixed leg in the floating-for-fixed interest rate swap. The difference between yield on a bond and a benchmark curve such as LIBOR is ...