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2.6.13 Weighted-average yield curve

On a given pricing date t, the weighted-average yield curve  gives an idea of the risk free rates that have been used in discounting cash flows. Computation-wise, it is the weighted-average of the yield curves  used to discount the cashflows of each constituent i. For a single country index e.g. the UK index,  is the same as the yield curve for that country.

where:

 denotes the weight of constituent i at time t

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