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Results tagged with bootstrapping
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user 13610
Bootstrapping is primarily a method for constructing a (zero-coupon) fixed-income yield curve from the prices of a set of coupon-bearing products, e.g. deposits, forwards/futures, bonds, swaps etc. The term convers also any recursive procedure of the same kind, for instance default probability curve bootstrapping, caplet volatility bootstrapping.
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Trying to learn to bootstrap with the Treasury Curve and can't seem to get a result that mak...
You are mixing up your time fractions. you used 0.5 and 1 for 6M and 1Y respectively, but calculated the 18M rate using actual year fractions (~1.545) instead of 1.5. Hence the lower value.
You should …
