The Yield Curve Order Book
The Yield Curve Order Book
Size relies on a symmetrical order book, with offers to lend (or bids to buy credit) on one side, bids to borrow (or offers to sell credit) on the other.
Each side consists of two-dimensional limit orders expressed as a yield curve (maturity x rate).
From this we can visualize a simple two-sided aggregate yield curve for any depth:
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