The Term Structure of Interest RatesTerm structure of interest rates

Patrice Poncet () and Roland Portait
Additional contact information
Patrice Poncet: ESSEC Business School
Roland Portait: ESSEC Business School

Chapter 6 in Capital Market Finance, 2022, pp 177-204 from Springer

Abstract: 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.

Date: 2022
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:sptchp:978-3-030-84600-8_6

Ordering information: This item can be ordered from
http://www.springer.com/9783030846008

DOI: 10.1007/978-3-030-84600-8_6

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().