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Friday, June 12, 2015

zero curve doesn't mean discount curve

Zero curve usually means the zero bond yield curve. I think it's usually upward sloping.

 

I think in STIRT/Sprite zero curve means the discount factor curve, so it's decreasing with maturity and always below 1.0.

 

A YC can be interchangeably represented as zero curve, discount curve, fwd curve (i.e. inst fwd rate) etc.