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YTM curve
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Spot curve
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Forward curve
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Curve Theory
- Show the term structure. Relationship between rates and different maturity
- Usually upward, can be downward or flat, or bumpy
【问题1】请描述一下shibor和七天回购利率的区别？
1）Shibor是上海同业银行拆借利率，是由全国信用等级较高的18家商业银行报价，提出掉最高和最低的4家，对于剩余的报价取算术平均后得到！ 2）相较而言，七天回购利率就复杂的多了！7天回购利率参考的是银行间7天回购（Repo）的实际情况，同样采用“削头去尾”的方式，根据回购交易的权重计算加权平均利率！为了保证其稳定性，该利率采用了“移动平均”（或是算数平均，或者是指数加权平均），来计算该利率。- Duration
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Macauley duration
Usually treat it as the weighted average term to maturity
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- Modified duration
(percentage) Change in the value of a bond, in response to a change in interest rates.
