ABSTRACT
What do we need to know about the term structure of interest rates and the yield curve? Aside from the definitions, it would be wonderful if we understood what drove them from day to day or even month to month. Then we could attempt to predict interest rates or perhaps just interest rate trends. With this information we could price assets and liabilities and forecast cash flows and mark-to-market values. These curves also provide hidden information regarding interest rates for future times for agreements that we enter into today. These forward rates are an important component in arbitrage-free pricing. They are also utilized in interest rate modeling and interest rate cap, floor, and swap pricing, all of which will be treated. Finally, several small sections on what can reasonably be accomplished and how are presented.
