The Arithmetics of Par, Spot and Forward Curves

Vahagn Melik-Parsadanyan ()

International Journal of Economics and Finance, 2016, vol. 8, issue 12, 183-186

Abstract: The understanding of the dynamics and shape of term structure of interest rates has been of a big interest to practitioners and academics. It is well documented that if the spot curve is monotonically upward-sloping (with decreasing growth rate) the par curve shows the same pattern, while the forward rate curve is first upward-sloping and then it inverts. Spot curve lies above the par curve, and the forward rate curve lies above the spot curve. If the spot curve is inverted, the pattern and ordering of the curves revert and the three curves are identical only if they are flat. This article aims to present mathematically the joint behavior of par, spot, and forward curves in discrete time setting.

Keywords: yield curve; spot curve; forward curve; par curve; implied spot curve (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://ccsenet.org/journal/index.php/ijef/article/view/62534/34682 (application/pdf)
http://ccsenet.org/journal/index.php/ijef/article/view/62534 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibn:ijefaa:v:8:y:2016:i:12:p:183-186

Access Statistics for this article

More articles in International Journal of Economics and Finance from Canadian Center of Science and Education Contact information at EDIRC.
Bibliographic data for series maintained by Canadian Center of Science and Education ().