Interpolated Yield Curve - I Curve

AAA

DEFINITION of 'Interpolated Yield Curve - I Curve'

A yield curve derived by using on-the-run treasuries. Because on-the-run treasuries are limited to specific maturities, the yield of maturities that lies between the on-the-run treasuries must be interpolated. This can be accomplished by a number of methodologies, including bootstrapping and regressions.

INVESTOPEDIA EXPLAINS 'Interpolated Yield Curve - I Curve'

Several different types of fixed-income securities trade at yield spreads to the I curve, making it an important benchmark.

For example, certain agency CMOs trade at a spread to the I curve at a spot on the curve equal to their weighted average lives. A CMO's weighted average life will most likely lie somewhere within the on-the-run treasuries, which makes the derivation of the I curve necessary.

RELATED TERMS
  1. Collateralized Mortgage Obligation ...

    A type of mortgage-backed security in which principal repayments ...
  2. Bootstrapping

    1. A procedure used to calculate the zero-coupon yield curve ...
  3. Yield Spread

    The difference between yields on differing debt instruments, ...
  4. Yield Curve

    A line that plots the interest rates, at a set point in time, ...
  5. Off-The-Run Treasuries

    All Treasury bonds and notes issued before the most recently ...
  6. On-The-Run Treasuries

    The most recently issued U.S. Treasury bond or note of a particular ...
Related Articles
  1. The Impact Of An Inverted Yield Curve
    Bonds & Fixed Income

    The Impact Of An Inverted Yield Curve

  2. Interest Rates And Your Bond Investments
    Investing Basics

    Interest Rates And Your Bond Investments

  3. Advanced Bond Concepts
    Bonds & Fixed Income

    Advanced Bond Concepts

  4. What You Need To Know About Preferred ...
    Trading Strategies

    What You Need To Know About Preferred ...

comments powered by Disqus
Hot Definitions
  1. Correlation

    In the world of finance, a statistical measure of how two securities move in relation to each other. Correlations are used ...
  2. Letter Of Credit

    A letter from a bank guaranteeing that a buyer's payment to a seller will be received on time and for the correct amount. ...
  3. Due Diligence - DD

    1. An investigation or audit of a potential investment. Due diligence serves to confirm all material facts in regards to ...
  4. Certificate Of Deposit - CD

    A savings certificate entitling the bearer to receive interest. A CD bears a maturity date, a specified fixed interest rate ...
  5. Days Sales Of Inventory - DSI

    A financial measure of a company's performance that gives investors an idea of how long it takes a company to turn its inventory ...
  6. Accounts Payable - AP

    An accounting entry that represents an entity's obligation to pay off a short-term debt to its creditors. The accounts payable ...
Trading Center