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Yield curve option
       
 
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Yield curve option

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Yield curve option
An Option that allows investors to take a view on the shape of a Yield curve without taking a view on a Bond market’s direction. It is normally structured as the Yield of a longer maturity Bond minus the Yield of a shorter one. A call would therefore appreciate in value as a curve flattened. A put would decrease in value. Such options were developed in the US in 1991 in response to a steepening Yield curve.
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