Method of pricing bonds based on Treasury spot rates rather than bond yields, in order to reflect market expectations of changing interest rates. Spot rates are prices quoted for immediate bond settlements, so pricing based on spot rates takes into account anticipated changes to market conditions.
Related information about spot rate Treasury curve:
- Spot Rate Treasury Curve Definition | Investopedia
A yield curve constructed using Treasury spot rates rather than yields. The spot rate Treasury curve can be used as a benchmark for pricing bonds. This type of ...
- What is spot rate Treasury curve? definition and meaning
Definition of spot rate Treasury curve: Method of pricing bonds based on Treasury spot rates rather than bond yields, in order to reflect market expectations of ...
- Yield to Maturity Vs. Spot Rate | eHow.com
Spot Rate Treasury Curve. Spot rates ... Investors use calculated spot rates of Treasury securities to develop what is referred to as the Spot Rate Treasury Curve.
- Bond Market Pricing Conventions - NASDAQ.com
Spot Rate Treasury Curve: A curve constructed using the theoretical spot rates of U.S. Treasuries. • Swap Curve: A curve constructed using the fixed interest rate ...
- * Spot rate - (Business): Definition
... of a security equal to the present value of its cash flows when added to the yield at each point on the spot rate Treasury curve where a cash flow is received .
- Zero-Volatility Spread Law & Legal Definition
... of a security equal to the present value of its cash flows when added to the yield at each point on the spot rate Treasury curve where a cash flow is received.
- How Bond Market Prices are Determined and Calculated
Oct 8, 2011... Collateralized Debt Obligations (CDOs). Popular benchmarks are: Spot Rate Treasury Curve; Swap Curve; Eurodollars Curve; Agency Curve ...
- Fixed Income Concepts flashcards | Quizlet
Vocabulary words for Deals primarily with duration/convexity ...