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following is the formula to get the Zero Rates from bootstrapped DF- = -LN (DF) / Alpha Where Alpha is the Accrual period


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I think that your approach is exact. Let the market prices $P^M(0,T)$ of zero bonds be given for some maturities $T_1,...,T_m$. Let $P^M(0,T_0)=1$ for $T_0=0$. The market prices of zero bonds should be calculate for $t \in [T_i,T_{i+1}]$ and $0 \leq i \leq m$ using log linear interpolation $$ln P^M(0,t)=lnP^M(0,T_i)+\frac{t-T_i}{T_{i+1}-T_i}*(lnP^M(0,T_{i+1})...


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For simplicity, let's say that your time $0.003$ equals 1 day, and your second pillar (probably $0.083$ instead of $0.00833$) equals 1 week. What you do: Approximate the short rate with the 1-day interest rate. What they do: Employ additional information about the shape of the yield curve at the short end, i.e. extrapolating from the first two available ...


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