Hot answers tagged yield-curve
bootstrap fedfunds (ois ) swaps to get your discount curve (asuming your portfolio is usd, and is usd collateralised). strangely i dont see the data on the fed site. i see data on LCH's site: http://www.lchclearnet.com/asset-classes/otc-interest-rate-derivatives/volumes/settlement-prices-swapclear-global#usd to get libor projection curve, you need to ...
Instead of the constant maturity series (which IMO would give only a few points), you could use the prices of ZCB to get the USD curve. They are available here http://www.wsj.com/mdc/public/page/2_3020-tstrips.html It might require some slight smoothing to get a clean curve. This is the best way I know to get a US Govt curve for free.
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