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Quantitative Finance · Glossary

What is Fitted-curve residual?

Definition 10.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapter 10 — Government-Bond Relative Value

A fitted-curve residual is a bond’s market yield minus the yield a smooth curve fitted to its market gives at its maturity: positive for a bond that is cheap to the curve (its yield is high), negative for a rich one.

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