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   Term Structure of Interest Rates
   















 

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Term Structure of Interest Rates

The pattern, usually represented graphically as a yield curve, of interest rates on sovereign or other consistent quality debt of various maturities. Where sovereign debt is not actively traded at appropriate maturities, the swap curve may be the best indicator of the term structure of interest rates in a specific currency. The term structure also sets relationships for arbitrage-free debt instrument option models. See Yield Curve (diagrams), Forward Yield Curve. See also Yield Curve Option.

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