收益率曲线的凹形与无套利
Concave Shape of the Yield Curve and No Arbitrage
AI总结：
本文从交易视角解释收益率曲线普遍呈凹形的原因，弥补经济学理论对此缺乏解释的空白，提出无套利条件下的凹形收益率曲线形成机制。
摘要：
在固定收益领域，收益率曲线可能是市场在交易和融资目的下最常观察的指标。收益率曲线描绘了从短期到长达30年的不同合约期限的利率。对于每种货币，相应的曲线显示了利率水平（或借贷成本）与到期时间之间的关系。例如，美国国债在不同期限上支付的美元利率被绘制为美国国债曲线。对于同一种货币，如果使用互换市场，我们也可以绘制各期限的互换利率，这被称为互换曲线。收益率曲线可以是平坦的、向上倾斜或向下倾斜（倒挂），然而，收益率曲线通常是凹形的。经济学理论缺乏对收益率曲线形状凹性的解释。我们在本文中从交易视角提供了对收益率曲线凹形形状的一种解释。
英文摘要：
In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30 years. For each currency, the corresponding curve shows the relation between the level of the interest rates (or cost of borrowing) and the time to maturity. For example, the U.S. dollar interest rates paid on U.S. Treasury securities for various maturities are plotted as the US treasury curve. For the same currency, if the swap market is used, we could also plot the swap rates across the tenors which would be called the swap curve.Even the yield curve can be at, upward or downward (inverted), however, yield curve is generally concave. There is a lack of explanation of the concavity of the yield curve shape from economics theory. We offer in this article an explanation of the concavity shape of the yield curve from trading perspectives.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
