# Questions tagged [yield-curve]

A yield curve is a plot of yields for various bonds (often government bonds) versus the bonds' maturities. We also often plot swap and other LIBOR rates to get the (related) swap curve.

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### Treasury futures and the TUT spread historical volatility

I'm doing a study at Rutgers on the TUT spread. The TUT spread is composed of 2 2-year treasuries and 1 10-year treasury per spread. I was trying to estimate the historical volatility of the spread, ...
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### Yield curve bootstrapping: direct market rates vs discount factors interpolation

From my understanding, there are (most generally speaking) two approaches for bootstrapping the yield curve (with an exact method). We can either interpolate between the market quotes (interbank ...
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### Question from Duffie and Kan (1996)

Going through Duffie and Kan (1996) I came up with a question. After Eq. $(3.4)$ the claim the following: By $(2.4)$, we also know that $\mathcal{D} F (X_t, t) - R(X_t) F(X_t, t) = 0$. Since $F$ is ...
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### Yield curve PCA: levels or daily moves?

I have tried using both yield curve levels as well as daily moves (absolute change) while doing PCA. Using both types of input/dataset gives me roughly the same shape in terms of principal components ...
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### Formula to calculate the sensitivity of a bond to curve steepening

https://github.com/jerryxyx/TreasuryFutureTrading/blob/master/README.pdf On page 2 of the pdf above, the sensitivity of a bond to increases in the slope of the curve, is given as $\ln(T)$, where $T$ ...
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### Is the ytm curve same as the par curve? [duplicate]

probably a v basic Q, but what is the difference between the ytm curve and the par curve, and given the ytm curve I see in the market how do I build a corresponding par curve
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### Why can a two-factor interest rate model not be used to value a coupon bearing bond as the sum of options on ZCBs

I am currently reading some notes which state that For one-factor models, the value of a European option on a coupon bond can be calculated as the sum of European options on zero-coupon bonds (ZCBs). ...
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