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Bond Bootstrapping Approach
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Assets (Accounting)--Valuation
- Item Type:
- Essay
- Tag(s):
- bond curve construction, curve bootstrapping
- Permanent URL:
- https://doi.org/10.17613/rew1-r588
- Abstract:
- We present a method for bootstrapping a set of zero rates from an input set of US government money market securities and bonds. We detail the calculations used to convert ACT/365 continuously compounded zero rates to the rates.
- Notes:
- https://finpricing.com/lib/FiZeroBond.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 7 months ago
- License:
- Attribution
- Share this:
Open access, open source, open to all
bondbootstrapping.pdf