标题: Spot rates on bonds [打印本页] 作者: mouse123 时间: 2011-7-11 17:34 标题: Spot rates on bonds
Can someone elaborate on this? They come up several times and I cant conceptually picture how they work..
TIA作者: bapswarrior 时间: 2011-7-11 17:34
If I recall correctly, the subject refers to synthetically treating each coupon payment as though it were a zero coupon bond. Normally, bonds pay a sequence of interest payments and a lump sum at maturity. The context here is to look at the payment stream as a series of standalone bonds.
I think you need to understand this concept pretty well, because later sections of fixed income build upon it.
- Robert作者: mnieman 时间: 2011-7-11 17:34
A spot rate is a point (yield) on the yield curve...
Two year spot rate on the treasury yield curve is the yield that the market uses to discount two-year risk free cash flows.作者: ftwcfa 时间: 2011-7-11 17:34
McLeod81 Wrote:
-------------------------------------------------------
> A spot rate is a point (yield) on the yield
> curve...
>
> Two year spot rate on the treasury yield curve is
> the yield that the market uses to discount
> two-year risk free cash flows.
