Term Structure

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term structure


 

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In finance, a term structure is a curve describing some financial quantity as a function of time to maturity or expiration. Most commonly, it is used to refer to the time value of money as indicated by a spot curveforward curve, discount curve or yield curve. It is also used to refer to the volatility term structure.

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cubic spline interpolation Any of several methods of interpolating with cubic splines.

fixed income term structure Refers collectively to a spot curve, forward curve, discount curve, yield curve or any other curve that describes the time value of money.

volatility skew A condition where implied volatilities vary by strike.

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