# 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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### Daily yield to maturity using uniroot in R: error

So, I'm trying to compute the daily yielt to maturity on basis of data retrieved from Datastream. The data comprises EMU Treasury bonds with Prices, Coupon and Maturity date. In R the matrices are ...
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### Multi-factor affine yield models reference (a la Duffie and Kan)

http://www.darrellduffie.com/uploads/pubs/DuffieKan1996.pdf I was trying to read above paper on the topic of multi-factor affine models, but I presume the contents have been dealt with more ...
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### Why 10 year treasury yield expectation note priced in bond prices?

A lot of large firms are predicting that the 10 year treasury yield is going to rise. My question is that if such prediction has any substance, shouldn't the current 10 year yield rise accordingly, as ...
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### Shape and geometry of the yield curve

Let the initial yield curve $T\mapsto y(0,T)$ be given for a term structure family of bonds $B(0,T)$ having different maturities. I am trying to figure out the geometric properties of the yield curve. ...
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### Best method for interpolating yield curve? [Multiple questions]

I'm building a spot curve for US Treasuries. My original selection of cash treasury include all the on-the-run bills, notes, bonds from 6 months to 30 years, as well as some selected off-the-run ...
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### Python Quantlib yield curve dates different than input

Thanks very much for your help in advance. I am trying to understand the yield curve construction from Python Quantlib. And it seems I cannot get the curve output the same dates(nodes) as my input ...
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### QuantLib Python Swap Yield Curve Bootstrapping Dates and Maturities

This is somewhat related to the question I asked here but simpler. I am trying to bootstrap a yield curve from swaps, and am having a problem with the dates/maturities that are coming out. The code ...
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### QL-Python Bootstrapping Yield Curve FuturesRateHelper throwing off results

I'm trying to perform a bootstrap of a yield curve from deposit rates, futures, and swaps, and the interpolation is "blowing up" for the futures maturities being off by two orders of magnitude (100x). ...
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### Brazilian break even inflation curves

Brazil has had historically two sets of inflation bonds, the NTN-B and NTN-C series each with a different inflation index. The NTN-C is no longer issued. When creating historical break even ...
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### How to Construct a Corporate Yield Curve

I received this question in a job interview. I don't really have fixed income background and was wondering if anyone can help me understand how to figure out this for myself. Create a 12 month time ...
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### What does equilibrium return on 90-day Treasury Bills mean?

I have been reading NZ Superfund's 2015 Ref Portfolio Review (here) and came across this notion: Our estimate of the equilibrium return on 90-day Treasury Bills is 5%. And this is under the column ...
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I am new to the quant finance community... I have a series of bond cash flows, its market prices and also the spot rates for the timing of those cash flows. How to find the Z-Spread that matches its ...
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### Convert USD yield into EUR yields

I want to calculate the EUR equivalent yield from the USD yield curve. For example : how to translate the USD libor curve into an EUR equivalent yield curve ? Do I need to use FX forwards or is the ...
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### In what economic scenario do yield curves bull flatten or bear steepen?

Bull steepening and bear flattening have the common belief that in bad news, treasuries catch a bid and short end rallies more because most bad news are short lived. In good news, treasuries sell off ...
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