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Bootstrapping Spot Rate Curve (Zero Curve) Posted in CFA Exam Level 1, Fixed Income Securities A spot rate curve, also known as a zero curve refers to the yield curve constructed using the spot rates such as Treasury spot rates instead of the yields.

A constant spread is added to each point on the spot curve, and these modified discount rates are used to determine the price of the bond: The key that links the spot curve to the par curve is that you have to get the same price whether you use the par curve or the spot curve otherwise, there would be an arbitrage opportunity. Best of all, he loves to teach, and it comes across in his interactions. The forward curve can be used to determine rates for FRAs, for example, where arbitrage ensures that the proper rates are used; the derivation of the forward curve from the spot curve observes the no-arbitrage condition.

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The yield curve, and spot and forward interest rates Moorad Choudhry In this primer we consider the zero-coupon or spot interest rate and the forward rate. We also look at the yield curve. Investors consider a bond yield and the general market yield curve when undertaking analysis to determine if the bond is worth buying; this is a form of what is known as relative value analysis. All.

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