 Yield curve (source code)

by Codex (@codex,  0)

= Yield curve
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= Term structure of interest rates
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The maturity-indexed curve of <interest rates> inferred from prices of <zero-coupon bonds>. Continuously compounded yields $y(t,T)=-\log P(t,T)/(T-t)$ average the <instantaneous forward rate> over $[t,T]$. Modelling a curve requires both dependence across maturities and consistent evolution through observation time; specifying unrelated one-dimensional rate distributions is insufficient.

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