Interpolated Yield Curve - I Curve
- Interpolated Yield Curve - I Curve
- A yield curve derived by using on-the-run treasuries. Because on-the-run treasuries are limited to specific maturities, the yield of maturities that lies between the on-the-run treasuries must be interpolated. This can be accomplished by a number of methodologies, including bootstrapping and regressions.
Several different types of fixed-income securities trade at yield spreads to the I curve, making it an important benchmark.
For example, certain agency CMOs trade at a spread to the I curve at a spot on the curve equal to their weighted average lives. A CMO's weighted average life will most likely lie somewhere within the on-the-run treasuries, which makes the derivation of the I curve necessary.
Investment dictionary.
Academic.
2012.
Look at other dictionaries:
Nominal Yield Spread — The spread, expressed in percent or basis points, that when added to the yield at one point on the Treasury yield curve equals the discount factor that will make a security s cash flows equal to its current market price. Nominal yield spreads are … Investment dictionary
maximum forward rate smoothing — An alternative yield curve smoothing technique. The most accurate yield curve smoothing method for forward rates. The yield curve with the smoothest possible forward rate function, consistent with observable data, is closely related to but… … Financial and business terms
Cubic Hermite spline — In the mathematical subfield of numerical analysis a cubic Hermite spline (also called cspline), named in honor of Charles Hermite, is a third degree spline with each polynomial of the spline in Hermite form. The Hermite form consists of two… … Wikipedia
Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European … Wikipedia
Spatial anti-aliasing — In digital signal processing, spatial anti aliasing is the technique of minimizing the distortion artifacts known as aliasing when representing a high resolution image at a lower resolution. Anti aliasing is used in digital photography, computer… … Wikipedia
Polynomial interpolation — In the mathematical subfield of numerical analysis, polynomial interpolation is the interpolation of a given data set by a polynomial. In other words, given some data points (such as obtained by sampling), the aim is to find a polynomial which… … Wikipedia
Double bass — Contrabass redirects here. For other uses, see Contrabass (disambiguation). Not to be confused with Acoustic bass guitar. For the technique used in percussion, see Double bass drum. Double Bass Side and front views of a modern double bass with a… … Wikipedia
performing arts — arts or skills that require public performance, as acting, singing, or dancing. [1945 50] * * * ▪ 2009 Introduction Music Classical. The last vestiges of the Cold War seemed to thaw for a moment on Feb. 26, 2008, when the unfamiliar strains … Universalium
Numerical control — CNC redirects here. For other uses, see CNC (disambiguation). A CNC Turning Center … Wikipedia
Occam's razor — For the aerial theatre company, see Ockham s Razor Theatre Company. It is possible to describe the other planets in the solar system as revolving around the Earth, but that explanation is unnecessarily complex compared to the modern consensus… … Wikipedia
