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Matori

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tT
发表于 2013-9-9 00:12 | 只看该作者

[CFA一级]spot rate curve and yield curve

difference, between
what is the difference between spot rate curve and yield curve？
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cityboy

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发表于 2013-9-9 00:12 | 只看该作者
the basic yield curve does not account for securities that have varying coupon rates. When the yield to maturity was calculated, we assumed that the coupons were reinvested at an interest rate equal to the coupon rate, therefore, the bond was priced at par as though prevailing interest rates were equal to the bond's coupon rate.

The spot-rate curve addresses this assumption and accounts for the fact that many Treasuries offer varying coupons and would therefore not accurately represent similar noncallable fixed-income securities. The spot-rate curve is created by plotting the yields of zero-coupon Treasury bills and their corresponding maturities.

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cfa10yrplan

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3#
发表于 2013-9-9 00:12 | 只看该作者
spot rate curve和yield curve可以看成是统一的，在曲线上，每一个时点对应的利率就是这个时点的spot rate，用哪一个债券做出来的曲线，曲线上的点就是对应这个债券的yield。 一般来说，我们把用Treasury做出来的收益率曲线称为spot rate curve，这条spot rate curve上对应的利率都是Treasury的收益率，因此只有市场风险，不包含credit risk和option risk等。

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torontoanalyst

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4#
发表于 2013-9-9 00:12 | 只看该作者
spot curve 只是 zero coupon bond 的signle cash flow 对应maturity 的yield， 所以带表了 spot rate; spot rates are devied from the market yield curve through the stripping methods.

yield curve could be different kind ---- on the run yield curve, off the run yield curve, treasury yield curve, corportate bond yield curve, etc.

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