Interpolated Yield Curve - I Curve

外汇网2021-06-19 20:55:13 69

A yield curve derived by using on-the-run treasuries. Because on-the-run treasuries are limited to specific maturities, the yield of maturities that lies between the on-the-run treasuries must be interpolated, which can be accomplished by a number of methodologies, including bootstrapping and regressions.

|||Several different types of fixed-income securities trade at yield spads to the I curve, making it an important benchmark.

For example, certain agency CMOs trade at a spad to the I curve at a spot on the curve equal to their weighted average lives. A CMO's weighted average life will most likely lie somewhere within the on-the-run treasuries, which makes the derivation of the I curve necessary.

标签：