In Part II we discuss yield curve modelling, illustrated with a number of yield curve models. The emphasis is on a qualitative discussion for all users, not just quantitative analysts, but as we are discussing a quantitative subject some mathematical notation is necessary. We introduce these in a sort of “maths primer” in Chapters 3 and 4. Readers familiar with these concepts may move directly to Chapter 5 for the start of the discussion.
Next in Part II, we look at how the change in market conditions following the bank crash in 2008 has impacted yield curve analysis. There is a description of the factors associated with swap curve discounting, and the use of the overnight‐index swap (OIS) curve in money markets, as well as a discussion of negative interest rates. We have retained the chapter on the index‐linked or real yield curve that was presented in the first edition.