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1answer
37 views

Future spot price versus current forward price

Which are the two conditions necessary to claim that the future spot price will have as many chances to be above or below the current forward price?
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vote
1answer
167 views

Interpolating spot rates given intermittent coupon-bond prices.

I'm trying to bootstrap spot rates given coupon-paying bond data. To simplify my problem, assume we are working with only 3 given data, the price/coupon rate on semi-annual bonds maturing in 0.5, 1, ...
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1answer
4k views

Calculating spot rate of interest

You are given the following information regarding the domestic government fixed-interest bond market: The current price of a one-year bond paying coupons at a rate of $4.5$% per annum and redeemed ...
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2answers
556 views

Using the termstrc package in R

I am attempting to use the function estim_nss from the termstrc package in R to find the spot curve from constant maturity rates published by the Fed. I am using this package because I will need to ...
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1answer
1k views

Bootstrapping spot rates from treasury yield curve

I'm attempting to construct a spot rate and forward rate curve from the 2011 daily treasury yield curve rates provided by the US Treasury. All US Treasury securities (1m, 3m, 6m, 1y, 2y, 3y, 5y, 7y, ...