Risk glossary


Yield curve option

An option whose underlying is the shape of the yield curve, normally defined as the yield of a longer-maturity bond minus the yield of a shorter-maturity bond. This allows investors to take a view on interest rates without taking a view on the bond market’s direction. The value of a call yield curve option appreciates as the curve flattens, whereas a put’s value decreases.

  • LinkedIn  
  • Save this article
  • Print this page  

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: