yield curve arbitrage


yield curve arbitrage

фр. arbitrage sur les courbes de rendement

исп. arbitraje conforme a la curva de rendimiento

арбитраж на основе кривой доходности

Выбор инвестиционной позиции, в основе которого лежат ожидаемые изменения формы кривой доходности, не зависящие от динамики общей процентной ставки, что находит отражение в средней продолжительности позиционирования портфеля активов.


Финансы и долги. — М.: Весь мир. 1997.

Смотреть что такое "yield curve arbitrage" в других словарях:

  • Yield curve — This article is about yield curves as used in finance. For the term s use in physics, see Yield curve (physics). Not to be confused with Yield curve spread – see Z spread. The US dollar yield curve as of February 9, 2005. The curve has a typical… …   Wikipedia

  • Yield curve option-pricing models — Models that can incorporate different volatility assumptions along the yield curve, such as the Black Derman Toy model. Also called arbitrage free option pricing models. The New York Times Financial Glossary …   Financial and business terms

  • yield curve option-pricing models — Models that can incorporate different volatility assumptions along the yield curve, such as the Black Derman Toy model. Also called arbitrage free option pricing models. Bloomberg Financial Dictionary …   Financial and business terms

  • Par Yield Curve — A graph of the yields on hypothetical Treasury securities with prices at par. On the par yield curve, the coupon rate will equal the yield to maturity of the security, which is why the Treasury bond will trade at par. Deriving a par yield curve… …   Investment dictionary

  • Arbitrage pricing theory — (APT), in finance, is a general theory of asset pricing, that has become influential in the pricing of shares. APT holds that the expected return of a financial asset can be modeled as a linear function of various macro economic factors or… …   Wikipedia

  • Arbitrage-free option-pricing models — Yield curve option pricing models. The New York Times Financial Glossary …   Financial and business terms

  • arbitrage-free option-pricing models — yield curve option pricing models. Bloomberg Financial Dictionary …   Financial and business terms

  • Arbitrage — For the upcoming film, see Arbitrage (film). Not to be confused with Arbitration. In economics and finance, arbitrage (IPA: /ˈɑrbɨtrɑːʒ/) is the practice of taking advantage of a price difference between two or more markets: striking a… …   Wikipedia

  • Municipal Bond Arbitrage — Municipal bond arbitrage, also called municipal bond relative value arbitrage, municipal arbitrage, or just muni arb, generally consists of building a leveraged portfolio of high quality, tax exempt municipal bonds and simultaneously hedging the… …   Wikipedia

  • Municipal bond arbitrage — Municipal bond arbitrage, also called municipal bond relative value arbitrage, municipal arbitrage, or just muni arb, generally consists of building a leveraged portfolio of high quality, tax exempt municipal bonds and simultaneously hedging the… …   Wikipedia

  • Fixed income arbitrage — is an investment strategy generally associated with hedge funds, which consists of the discovery and exploitation of inefficiencies in the pricing of bonds, i.e. instruments from either public or private issuers yielding a contractually fixed… …   Wikipedia

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