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.

Advertisements

Leave a Reply

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

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s