Par yield - Revision history

imported>Doug Williamson: Categorise.

2018-02-22T12:14:09Z

Categorise.

← Older revision		Revision as of 12:14, 22 February 2018
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	* [[Negative yield curve]]		* [[Negative yield curve]]
	* [[Converting from par rates]]		* [[Converting from par rates]]

			[[Category:Financial_management]]
			[[Category:Corporate_financial_management]]

imported>Doug Williamson: Align headers.

2015-12-02T19:46:29Z

Align headers.

← Older revision		Revision as of 19:46, 2 December 2015
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	==Par yield ~~repayment~~==		==Par yield cash flows==
	The following example looks at par yield ~~payments~~.		The following example looks at par yield cash flows.


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	====Periodic par yields (~~'''~~p~~'''~~)====		====Periodic par yields (p)====

	p<sub>0-1</sub> or p<sub>1</sub>: the rate per period for the maturity starting now and ending one period in the future.		p<sub>0-1</sub> or p<sub>1</sub>: the rate per period for the maturity starting now and ending one period in the future.
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	====Periodic zero coupon yields (~~'''~~z~~'''~~)====		====Periodic zero coupon yields (z)====

	z<sub>0-1</sub>: the rate per period for the maturity starting now and ending one period in the future.		z<sub>0-1</sub>: the rate per period for the maturity starting now and ending one period in the future.

imported>Doug Williamson: Standardise headings with examples

2015-12-02T12:50:51Z

Standardise headings with examples

← Older revision		Revision as of 12:50, 2 December 2015
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	<span style="color:#4B0082">'''Example'''</span>		==Par yield repayment==
			The following example looks at par yield payments.


			<span style="color:#4B0082">'''Example: Calculating repayments'''</span>

	The par yield for the maturity 0-3 periods is 1.90% per period.		The par yield for the maturity 0-3 periods is 1.90% per period.
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	~~'''~~Conversion~~'''~~		==Conversion==

	If we know the par yield, we can calculate both the [[zero coupon yield]] and the [[forward yield]] for the same maturities and risk class.		If we know the par yield, we can calculate both the [[zero coupon yield]] and the [[forward yield]] for the same maturities and risk class.
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	~~'''~~Notation~~'''~~		==Notation==

	Notation varies between practitioners and contexts.		Notation varies between practitioners and contexts.
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	''Periodic par yields ('''p''')~~:''~~		====Periodic par yields ('''p''')====

	p<sub>0-1</sub> or p<sub>1</sub>: the rate per period for the maturity starting now and ending one period in the future.		p<sub>0-1</sub> or p<sub>1</sub>: the rate per period for the maturity starting now and ending one period in the future.
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	''Periodic zero coupon yields ('''z''')~~:''~~		====Periodic zero coupon yields ('''z''')====

	z<sub>0-1</sub>: the rate per period for the maturity starting now and ending one period in the future.		z<sub>0-1</sub>: the rate per period for the maturity starting now and ending one period in the future.

imported>Doug Williamson at 17:26, 21 November 2015

2015-11-21T17:26:07Z

← Older revision		Revision as of 17:26, 21 November 2015
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	This is illustrated on the page [[Converting from par rates]].		This is illustrated on the page [[Converting from par rates]].

imported>Doug Williamson: Add note about notation.

2015-11-21T17:17:19Z

Add note about notation.

← Older revision		Revision as of 17:17, 21 November 2015
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	This is illustrated on the page [[Converting from par rates]].		This is illustrated on the page [[Converting from par rates]].





			'''Notation'''

			Notation varies between practitioners and contexts.

			The yield conversion pages in this wiki use the following notation:


			''Periodic par yields ('''p'''):''

			p<sub>0-1</sub> or p<sub>1</sub>: the rate per period for the maturity starting now and ending one period in the future.

			p<sub>0-2</sub> or p<sub>2</sub>: the rate per period for the maturity starting now, and ending two periods in the future, with periodic interest - calculated at the same periodic par rate for 0-2 periods maturity - paid at the ends of both period 1 and period 2.

			p<sub>0-3</sub> or p<sub>3</sub>: the rate per period for the maturity starting now, and ending three periods in the future, with periodic interest - calculated at the same periodic par rate for 0-3 periods maturity - paid at the ends of each of periods 1, 2 and 3.

			And so on.


			''Periodic zero coupon yields ('''z'''):''

			z<sub>0-1</sub>: the rate per period for the maturity starting now and ending one period in the future.

			z<sub>0-2</sub>: the rate per period for the maturity starting now, and ending two periods in the future, with all of the rolled up compounded interest paid at the end of period 2.

			And so on.


			It is best always to spell out expressly what cash flow pattern, maturity and quotation basis you intend, rather than assuming or hoping that others are familiar with your particular organisation's preferred notation.

imported>Doug Williamson: Link with Converting from par rates page.

2015-11-15T09:27:28Z

Link with Converting from par rates page.

← Older revision		Revision as of 09:27, 15 November 2015
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	If we know the par yield, we can calculate both the [[zero coupon yield]] and the [[forward yield]] for the same maturities and risk class.		If we know the par yield, we can calculate both the [[zero coupon yield]] and the [[forward yield]] for the same maturities and risk class.

			This is illustrated on the page [[Converting from par rates]].


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	* [[Positive yield curve]]		* [[Positive yield curve]]
	* [[Negative yield curve]]		* [[Negative yield curve]]
			* [[Converting from par rates]]

imported>Doug Williamson: Colour change of example headers

2015-11-13T15:28:10Z

Colour change of example headers

← Older revision		Revision as of 15:28, 13 November 2015
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	'''Example'''		<span style="color:#4B0082">'''Example'''</span>

	The par yield for the maturity 0-3 periods is 1.90% per period.		The par yield for the maturity 0-3 periods is 1.90% per period.

imported>Doug Williamson: Added more yield curve links

2015-11-13T10:35:49Z

Added more yield curve links

← Older revision		Revision as of 10:35, 13 November 2015
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	* [[Flat yield curve]]		* [[Flat yield curve]]
	* [[Rising yield curve]]		* [[Rising yield curve]]
			* [[Falling yield curve]]
			* [[Positive yield curve]]
			* [[Negative yield curve]]

imported>Doug Williamson: Added additional links

2015-11-13T10:01:18Z

Added additional links

← Older revision		Revision as of 10:01, 13 November 2015
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	* [[Yield curve]]		* [[Yield curve]]
	* [[Zero coupon yield]]		* [[Zero coupon yield]]
			* [[Flat yield curve]]
			* [[Rising yield curve]]

imported>Doug Williamson: Add note about converting to other yield curves.

2015-11-11T22:28:51Z

Add note about converting to other yield curves.

← Older revision		Revision as of 22:28, 11 November 2015
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	The par yield is known as the Par rate, Swap rate or Swap yield.		The par yield is known as the Par rate, Swap rate or Swap yield.


			'''Conversion'''

			If we know the par yield, we can calculate both the [[zero coupon yield]] and the [[forward yield]] for the same maturities and risk class.