#finance #yield-curve
yield curves built from the
money market use prices of "cash" from today's LIBOR rates, which determine the "short end" of the curve i.e. for
t ≤ 3m,
futures which determine the midsection of the curve (3m ≤
t ≤ 15m) and
interest rate swaps which determine the "long end" (1y ≤
t ≤ 60y).
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Yield curve - Wikipedia, the free encyclopediaon.
Yield curves are built from either prices available in the bond market or the money market. Whilst the yield curves built from the bond market use prices only from a specific class of bonds (for instance bonds issued by the UK government) <span>yield curves built from the money market use prices of "cash" from today's LIBOR rates, which determine the "short end" of the curve i.e. for t ≤ 3m, futures which determine the midsection of the curve (3m ≤ t ≤ 15m) and interest rate swaps which determine the "long end" (1y ≤ t ≤ 60y).
The example given in the table at the right is known as a LIBOR curve because it is constructed using either LIBOR rates or swap rates. A LIBOR curve is the most widely used interest rat Summary
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