Term structure
The term structure of interest rates is the variation of interest rates with time — for example, ...
Term structure
The relationship between the yields on fixed-interest
securities and their maturity dates. Expectation of changes in interest rates
affects term structure, as do liquidity preferences and hedging pressure. A ...
Term structure of interest rates
The relationship between interest rates and their maturities. ...
term structure
In finance, a term structure is a curve describing some financial quantity as a function of time to maturity or expiration.
Term structure of interest rates
Definition: [crh] Relationship between interest rates on bonds of different maturities, usually depicted in the form of a Definition: graph often called a yield curve.
term structure model
Also known as yield curve models. An assumption, or set of assumptions, used to describe future changes in interest rates over a range of maturities. The most simple term structure model is a parallel shift in rates, e.g.
Term Structure of Interest Rates
A graph representing the yield to maturity of Treasury securities at identified years of maturity.
Terminal Elevator ...
Term Structure of Interest Rates
This phrase relates to the relationship between interest rates on bonds of different due dates, generally described in the form of a chart, often known as a 'yield curve'.
Time Deposit ...
Term Structure of Interest Rates See yield curve.
Thin Market A market in which there are comparatively few bids to buy or offers to sell, or both. The phrase may apply to a single security or to the entire stock market.
Term Structure of Interest Rates
Calculations
A mathematical description of the relationship between interest rates (or the cost of borrowing) and the time to maturity of a debt in a given currency, often used in relation to fixed securities.
[edit] Term structure of volatility
For options of different maturities, we also see characteristic differences in implied volatility. However, in this case, the dominant effect is related to the market's implied impact of upcoming events.
Term structure of interest rates
Paris Interbank Offered Rate (interest-rate futures options)
Open market operation ...
Term Structure of Interest Rates and Volatility - Refers to the variability of short-term rates relative to longer-term rates. It has been documented that short-term rates exhibit greater variability or volatility than long-term rates.
Term Structure of Credit Risk
The term structure of credit risk is the term structure of interest rates (i.e., a zero coupon yield curve) where the lowest schedule in yield - maturity space is riskless (typically sovereign obligations of the currency ...
The term structure represents information set for the market. The main theories which explain the structure are: i) expectation theory, ii) segmented market, and iii) liquidity premium.
See also: Term Structure of Interest Rates
- Classic Economic Models
Interactive presentations of the most important models
in microeconomics and macroeconomics go beyond
anything appearing in a printed-on-paper textbook.
In sum, the term structure of interest rates-or, equivalently, the shape of the yield curve-is likely to be influenced both by investors' risk preferences and by their expectations of future interest rates.
About the Author ...
Theories of the term structure of interest rates, which include the pure expectations theory
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Personal Finance Glossary ...
graph showing the term structure of interest rates by plotting the yields of all bonds of the same quality with maturities ranging from the shortest to the longest available.
FLAT MARKET - Is a term structure whereby the various delivery months are basically trading at the same...
fA fB fC fD fE fF fG fH fI fJ fK fL fM fN fO fP fQ fR fS fT fU fV fW fX fY fZ
previous 10 ...
Preferred habitat theory A biased expectations theory that believes the term structure reflects the expectation of the future path of interest rates as well as risk premium.
For example, with a positively sloped term structure (short rates lower than long rates), one might borrow at low short term rates and finance the purchase of long-term bonds.
It is a possible contributing factor to the makeup of the term structure of interest rates. Inflexible expenses Expenses that cannot be adjusted or eliminated such as car payments or rental payments. Antithesis of flexible expenses.
Expectations hypothesis theories Theories of the term structure of interest rates, which include the pure expectations theory; the liquidity theory of the term structure, and the preferred habitat theory.
See in particular the section Theories of the term structure (section 4.7 in the fourth edition).
Damiano Brigo, Fabio Mercurio (2001). Interest Rate Models - Theory and Practice. Springer. ISBN 3-540-41772-9.
Donald R.
Related: Term structure of interest rates. Harvey (1991) finds that the inversions of the yield curve (short-term rates greater than long term rates) have preceded the last five U.S. recessions.
A biased expectations theory that believes the term structure reflects the expectation of the future path of interest rates as well as risk premium.
Graph depicting the term structure of interest rates. It plots the yields of bonds of the same class (corporates, governments, etc.) and quality with maturities that range from the shortest to the longest term.
Theories including the pure expectations theory, the liquidity theory of the term structure, and the preferred habitat theory, ...
Structured notes provide investors with an opportunity to take advantage of views not only about the direction of interest rates but the volatility, the range, the shape of the term structure (i. e., long term rates vs. short term rates), ...
A visual representation of the term structure of interest rates. It shows the relationship between bond yields and maturity lengths.
Liquidity theory of the term structure
A biased expectations theory that asserts that the implied forward rates will not be a pure estimate of the markets expectations of future interest rates because they embody a liquidity premium.
Risk free interest rate
Term structure of interest rates
interest
interest rate basis ...
A model that applies forward rates to an existing term structure of interest rates to determine appropriate prices for securities that are sensitive to changes in interest rates.
The fact that future inflation rates are not known. It is a possible contributing factor to the makeup of the term structure of interest rates.
Inflation-escalator clause ...
Inflation uncertainty
The fact that future inflation rates are not known. It is a possible contributing factor to the makeup of the term structure of interest rates.
rate a market maker will pay to receive LIBOR and the offer is the fixed rate a market taker must pay to receive LIBOR. Swap rates are mathematically equal to the weighted average of all relevant FRAs, and so are determined by the term structure of ...
The proposition that investors characteristically prefer liquidity in investments and consequently will generally only be induced to hold longer-term securities if higher returns are offered. The theory is used to explain the term structure of ...
 See also: Yield curve, Banks, Expense, Values, Expected return
  
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