YIELD CURVE
Butterfly Spread
Measures relative curvature around a middle maturity.
Formula
Butterfly = 2×Middle yield - Short yield - Long yield
Variables: Short, middle and long maturity yields
What it means
Measures relative curvature around a middle maturity.
Example
For a 2s5s10s butterfly, combine the 2Y, 5Y and 10Y yields using the stated weights.
How to interpret it
This concept should be read together with its market convention, measurement horizon and underlying instrument. BondStats presents it as an analytical reference rather than investment advice; instrument documentation and primary market rules remain authoritative.
Related Formulas
BondStats reference content is independently written. Mathematical relationships, abbreviations and market conventions are presented for educational and analytical use.