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1 Introduction 1
1.1 Yield curve background 2
1.2 Main approaches to modeling yield curves 3
1.3 The layout of the book 5
2 Concepts and terminology 8
2.1 Zero interest rates 9
2.2 Discount factors 12
2.3 Forward rates 13
2.4 Yield to maturity 16
2.5 Par rates 16
2.6 The “bootstrapping” technique 21
2.7 Implied interest rates 28
2.8 Concluding remarks 32
3 Yield curve models 33
3.1 Regression-type models 33
3.2 Empirical yield curve models 40
3.3 Equilibrium models 49
4 Practical issues 53
4.1 Overview 53
4.2 Daycount conventions 53
4.3 Instrument quoting convention 56
4.4 Holidays and weekends 56
4.5 Business day rules 57
4.6.
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