标题: yield and spot rate [打印本页] 作者: amqata 时间: 2011-10-9 18:25 标题: yield and spot rate
Hi does anyone know why the price of a treasury securities is different when we compute it with a yield to maturity and a spot rate curve cconstructed from that yield curve same yield curve?作者: MarginofSafety 时间: 2011-10-9 18:31
does that really come under "general discussion"?
A. no
B. why not
C. perhaps作者: krause2 时间: 2011-10-9 18:36
It should be the same. That's what the arbitrage-free value is.作者: justin88 时间: 2011-10-9 18:42
Yeah after the arbitrage the price is the same but we need arbitrage. The think i don t understand is whay mathematicaly it gives a different price since the spot rate curve comes from the yield curve. It s strange for me and a kind of counter intuitive
