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Bond Math: The Theory Behind the Formulas, + Website, 2nd Edition by Donald J. Smith

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CHAPTER 5 Yield Curves

A yield curve is a visual display of current conditions in some particular fixed-income bond market. It’s a snapshot of interest rates in that market—a simple yet often informative graph that plots yields to maturity on the vertical axis and times to maturity on the horizontal axis for a homogeneous set of securities. A yield curve also is called the term structure of interest rates. Some academics distinguish the two, preserving one for zero-coupon bonds and the other for standard coupon bonds, but I use them as synonyms and specifically identify the type of securities being discussed.

Yield curves are great for the study of bond math. We see in this chapter how we can move seamlessly, albeit with some assumptions, ...

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