英文标题：
《Concave Shape of the Yield Curve and No Arbitrage》
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作者：
Jian Sun
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最新提交年份：
2018
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英文摘要：
  In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30 years. For each currency, the corresponding curve shows the relation between the level of the interest rates (or cost of borrowing) and the time to maturity. For example, the U.S. dollar interest rates paid on U.S. Treasury securities for various maturities are plotted as the US treasury curve. For the same currency, if the swap market is used, we could also plot the swap rates across the tenors which would be called the swap curve.Even the yield curve can be at, upward or downward (inverted), however, yield curve is generally concave. There is a lack of explanation of the concavity of the yield curve shape from economics theory. We offer in this article an explanation of the concavity shape of the yield curve from trading perspectives.
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中文摘要：
在固定收益行业，收益率曲线可能是市场在交易和融资方面观察最多的指标。收益率曲线描绘了从短期到长达30年的不同合同期限的利率。对于每种货币，相应的曲线显示了利率水平（或借贷成本）与到期时间之间的关系。例如，不同期限的美国国库券支付的美国利率被绘制为美国国库券曲线。对于同一种货币，如果使用掉期市场，我们还可以绘制跨期限的掉期利率，这将被称为掉期曲线。即使收益率曲线可以是at、向上或向下（反转），但收益率曲线通常是凹的。收益率曲线形状的凹陷性缺乏经济学理论的解释。本文从交易角度解释了收益率曲线的凹形。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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