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Parallel and Non-parallel Shifts in Yield Curve | Finance Train

Fixed Income Part 1

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17 lessons0%

CFA Level 2: Fixed Income Part 1 – Introduction

Principles of Credit Analysis

High Yield Corporate Debt (aka Junk bonds)

Analyzing Credit of Asset Backed Securities

Analyzing Credit of Municipal Bonds

Three Shapes of the Yield Curve

Parallel and Non-parallel Shifts in Yield Curve

Factors Driving Treasury Investment Returns and Bond Price Risk

Yield Curve Construction with Treasuries

LIBOR Swap Rate Curve

Theories of the Term Structure of Interest Rates

Key Rate Duration

How to Calculate Interest Rate Volatility?

Benchmark Yield Spreads

Valuing an Option Embedded Bond using Binomial Interest Rate Tree

How to Price Convertible Bonds?

Lesson 8 of 17

Parallel and Non-parallel Shifts in Yield Curve

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Three Shapes of the Yield Curve

Factors Driving Treasury Investment Returns and Bond Price Risk

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Parallel Shift

Rates across the maturity spectrum change by a constant amount and the slope of the yield curve remains consistent.

Non-Parallel Shifts

Twist: The slope of the yield curve becomes flatter (the spread between short and long term yields narrows) or steeper (the spread between short and long term yields widens).

Butterfly: Change to the curvature of the yield curve.

Positive butterfly: The yield curve goes loses some of its "hump" and becomes straighter.

Negative butterfly: The yield curve takes on more of a hump and ceases to look similar to a straight line.