Timeline for Deriving spot rates from treasury yield curve
Current License: CC BY-SA 3.0
10 events
| when toggle format | what | by | license | comment | |
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| Aug 28, 2012 at 13:27 | comment | added | user7056 | Hello Antoine Latter, would separating software (electronic, credit cards, cheques) and non-software cash flows, and using just the completly netted non-software cash flows together with the treasury interest rates, make any difference on your results? | |
| Apr 21, 2012 at 18:47 | vote | accept | Antoine Latter | ||
| Apr 20, 2012 at 19:44 | comment | added | Antoine Latter | Okay, from the link provided in your #2, when I read the yield curve I have to assume that the YTM equals the coupon rate - that is, the curve is for hypothetical instruments trading at par. If that is true, I think it gives me the piece of information I was missing. | |
| Apr 20, 2012 at 17:15 | history | edited | Ram Ahluwalia | CC BY-SA 3.0 |
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| Apr 20, 2012 at 17:02 | comment | added | Antoine Latter | In summary - I'm probably looking at the wrong data - It sounds like it would be easier to start with trading prices of treasuries, that way I know both the PV, face value and coupon rate of each instrument. I'll see if Yahoo or someone else lets me dig those out for free. | |
| Apr 20, 2012 at 17:00 | history | edited | Ram Ahluwalia | CC BY-SA 3.0 |
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| Apr 20, 2012 at 16:54 | comment | added | Ram Ahluwalia | If by IRR rates you mean the YTM on securities, then it looks like you mean to use all Treasury Copuon Securities and Bills which is the most difficult method of the three. I updated my answer so you can see the alternatives. Hopefully this helps | |
| Apr 20, 2012 at 16:52 | history | edited | Ram Ahluwalia | CC BY-SA 3.0 |
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| Apr 20, 2012 at 16:30 | comment | added | Antoine Latter | It looks like, then, I do need coupon rates to go along with the published yield curve IRR rates. Is that a correct reading? | |
| Apr 20, 2012 at 16:20 | history | answered | Ram Ahluwalia | CC BY-SA 3.0 |