zero curve doesn’t mean discount curve

Zero curve usually means the zero bond yield curve. I think it’s usually upward sloping.


I think in STIRT/Sprite zero curve means the discount factor curve, so it’s decreasing with maturity and always below 1.0.


A YC can be interchangeably represented as zero curve, discount curve, fwd curve (i.e. inst fwd rate) etc.


Fill in your details below or click an icon to log in: 徽标

您正在使用您的 账号评论。 登出 /  更改 )

Google photo

您正在使用您的 Google 账号评论。 登出 /  更改 )

Twitter picture

您正在使用您的 Twitter 账号评论。 登出 /  更改 )

Facebook photo

您正在使用您的 Facebook 账号评论。 登出 /  更改 )

Connecting to %s