Trading Glossary

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Yankee market

The foreign market in the United States.

Yield curve

The graphical depiction of the relationship between the yield on bonds of the same credit quality but different maturities: Related: Term structure of interest rates

Yield curve option-pricing models

Also called arbitrage-free option-pricing models, models that can incorporate different volatility assumptions along the yield curve, such as the Black-Derman-Toy model.

Yield curve strategies

Positioning a portfolio to capitalize on expected changes in the shape of the Treasury yield curve.

Yield ratio

The quotient of two bond yields.

Yield spread strategies

Strategies that involve positioning a portfolio to capitalize on expected changes in yield spreads between sectors of the bond market.

Yield to call

For a bond that may be called prior to maturity, the yield to the first call date.

Yield to maturity

The interest rate that will make the present value of a bond's remaining cash flows (if held to maturity) equal to the price (plus accrued interest, if any).

Yield to worst

The bond yield computer by always using the lower of either the yield to maturity or the yield to call on every possible call date.