## Yield Curve |

A yield curve is a graph that plots interest rates or yields of similar fixed-income instruments with differing maturities across time. The curve creates a visual representation of the term structure of interest rates. By aggregating lender priorities over time for a particular borrower or credit risk profile, yield curves enable you to study financial market conditions and analyze potential investments or trading opportunities.

Yield curves are borrower-specific, so different curves are constructed for sovereign debt (e.g., the US Treasury default-free curve), the interbank markets (the swap curve), and corporate debt (a credit spread over the swap curve).

They are typically constructed and calibrated to the market prices of a variety of fixed-income instruments, including government debt, money market rates, short-term interest rate futures, and interest rate swaps. To build a smooth and consistent curve, you use a combination of bootstrapping, curve fitting, and interpolation techniques. These curves, once constructed, can then be used to price other OTC derivatives consistently with the markets.

For more information, see MATLAB^{®} toolboxes for finance, data feeds, financial instruments, statistics, and curve fitting.

- Forecasting with the Diebold-Li Model (Example)
- Fitting Interest Rate Curve Functions (Example)
- UniCredit Bank Austria Develops an Enterprise-Wide Market Data Engine (User Story)
- Prepayment Modeling with a Two-Factor Hull-White Model (Example)
- Sensitivity of Bond Prices to Parallel Shifts (Example)
- Term Structure Analysis and Interest Rate Swap Pricing (Example)
- Analysis of Inflation Indexed Instruments (Example)

- Fitting and Analysis (Product Description)
- Term Structure of Interest Rates (Documentation)
- Analyze Curves (Function Reference)
- Computing Treasury Bill Price and Yield (Function Reference)
- Creating Interest-Rate Curve Objects (Function Reference)
- Interest Rate Curve Objects (Documentation)

*See also*: *financial engineering*, *fixed income*, *financial derivatives*, *swap curve*, *zero curve*, *Econometrics Toolbox*, *Parallel Computing Toolbox*, *Symbolic Math Toolbox*, *Curve Fitting Toolbox*, *Spreadsheet Link EX (for Microsoft Excel)*