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#1
10-11-2007, 06:32 PM
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Junior Member
Join Date: Jun 2007
Posts: 20
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Yeld curve arbitrage
I've heard or read quite a few times about the term "yeld curve arbitrage". Can someone explain what yeld curve arbitrage is and how it works? Thanks
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#2
10-15-2007, 05:07 PM
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Junior Member
Join Date: Jul 2007
Posts: 24
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yeld curve refers to the shape of the term structure of interest rates, where term structure is the differential between the rates on any set of maturities.
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#3
10-22-2007, 05:04 PM
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founder of Trading-Lab
Join Date: May 2007
Location: New York, NY
Posts: 296
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yeld curve arbitrage is not pure arbitrage as some may think. Many times the term arbitrage is used to label trading strategies which carry little risk. Still, the risk is there. Yeld curve arbitrage is a view on the future rate differential between interest rates of different maturities.
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#4
10-25-2007, 03:22 PM
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Junior Member
Join Date: Jun 2007
Posts: 20
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