## Yield Curve

In finance, the **yield curve** is a curve showing several yields or interest rates across different contract lengths (2 month, 2 year, 20 year, etc...) for a similar debt contract. The curve shows the relation between the (level of) interest rate (or cost of borrowing) and the time to maturity, known as the "**term**", of the debt for a given borrower in a given currency. For example, the U.S. dollar interest rates paid on U.S. Treasury securities for various maturities are closely watched by many traders, and are commonly plotted on a graph such as the one on the right which is informally called "the yield curve." More formal mathematical descriptions of this relation are often called the **term structure of interest rates**.

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### Some articles on yield curve:

... For managers who need to account for changes in the shape of the

**yield curve**in detail, a single risk measure for interest-rate sensitivity is insufficient and a more detailed way of measuring ... Ho defines a number of maturities on the

**yield curve**as being the key rate durations, with typical values of 3 months, 1, 2, 3, 5, 7, 10, 15, 20, 25 and ... key rate duration measures the effect of a change in the

**yield curve**that is localized at a particular maturity, and restricted to the immediate vicinity of that maturity, usually by having the ...

**Yield Curve**Attribution - Factor-based Attribution

... A factor-based model of

**yield curve**movements is calculated by deriving the covariance matrix of

**yield**shifts at predefined maturities, and calculating the ... corresponds to a fundamental model of the

**yield curve**, and each eigenvector is orthogonal, so that the

**curve**movement on any given day is a linear combination of the basis ... The eigenvalues of this matrix then give the relative weights, or importance, of these

**curve**shifts ...

**Yield Curve**- Relationship To The Business Cycle

... The slope of the

**yield curve**is one of the most powerful predictors of future economic growth, inflation, and recessions ... One measure of the

**yield curve**slope (i.e ... An inverted

**yield curve**is often a harbinger of recession ...

... is a method for constructing a (zero-coupon) fixed-income

**yield curve**from the prices of a set of coupon-bearing products, e.g ... of spot returns is recovered from the bond

**yields**by solving for them recursively, by forward substitution ... Given that, in general, we lack data points in a

**yield curve**(there are only a fixed number of products in the market) and more importantly these have ...

... type, such as government bonds, by creating long and short positions along the

**yield curve**... Government Treasury

**yield curve**reveals that more than 90% of the

**yield curve**shifts are parallel shifts, followed by a smaller percentage of slope shifts and a very small percentage of curvature ... durations at the long and short end of the

**curve**, and a matching short position with a duration in the middle of the

**curve**...

### Famous quotes containing the words curve and/or yield:

“In philosophical inquiry, the human spirit, imitating the movement of the stars, must follow a *curve* which brings it back to its point of departure. To conclude is to close a circle.”

—Charles Baudelaire (1821–1867)

“I believe that there is a subtle magnetism in Nature, which, if we unconsciously *yield* to it, will direct us aright. It is not indifferent to us which way we walk.”

—Henry David Thoreau (1817–1862)