Yield curve

Roles that need it

• Macro Research Analyst
• Portfolio Manager Assistant
• ALM Analyst
• Treasury Analyst
• Market Risk Analyst

Skills it belongs to

• Financial markets knowledge
• Asset-liability management and rate risk

Related concepts

• DurationDuration measures how sensitive a bond's price is to changes in interest rates. Macaulay duration is the weighted average time to receive the bond's cash flows; modified duration gives the approximate percentage price change for a 1 percentage point change in yield. A modified duration of 6 means about a 6% price fall if yields rise by 1 point.
• Yield to maturityYield to maturity (YTM) is the single discount rate that makes the present value of a bond's future coupons and principal equal to its current price, assuming it is held to maturity and coupons are reinvested at the same rate. Bond prices and yields move in opposite directions.
• DV01 (Dollar value of one basis point)DV01, also called PV01 (present value of a basis point) or BPV (basis point value), is the change in the value of a position for a one basis point (0.01%) move in interest rates. It turns duration into a money amount: a bond position worth 10 million with modified duration 5 has a DV01 of about 5,000.
• IR delta (Interest rate delta)Interest rate delta is the sensitivity of a position's value to small moves in interest rates, measured either for a parallel shift of the whole curve or bucket by bucket along the curve (key rate deltas). It is expressed per basis point, like DV01 (dollar value of one basis point), and is the first-order measure used to hedge and limit rate risk.
• BondA bond is a debt security in which the issuer borrows from investors and promises to pay interest (coupons) and repay the principal at maturity. Key features are issuer, currency, coupon type (fixed, floating or zero), maturity, seniority and any embedded options; bonds are issued by governments, banks and companies.

Sources

• Euro area yield curves, ECB (external site) accessed 31 Oct 2026

Updated 31 Oct 2026.