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The Term Structure of Interest RatesTerm structure of interest rates

In: Capital Market Finance

Author

Listed:
  • Patrice Poncet

    (ESSEC Business School)

  • Roland Portait

    (ESSEC Business School)

Abstract

Section 6.1 describes the term structure of (spot) interest rates, also called the yield curve, defines the yields to maturity of bullet bonds and zero-coupon rates, shows how one may construct forward transactions using cash instruments, and exhibits the different forward rates implicit in the structure of spot rates. Section 6.2 analyzes the economic factors that determine the form of the yield curve, notably its slope. Section 6.3 generalizes the standard indicators of interest rate risk such as simple duration or variation, which allows assessment of the financial consequences of a deformation of the yield curve.

Suggested Citation

  • Patrice Poncet & Roland Portait, 2022. "The Term Structure of Interest RatesTerm structure of interest rates," Springer Texts in Business and Economics, in: Capital Market Finance, chapter 6, pages 177-204, Springer.
    • Handle: RePEc:spr:sptchp:978-3-030-84600-8_6
    DOI: 10.1007/978-3-030-84600-8_6
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