Yield Curve Construction and Bootstrapping

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June 06, 2018

Yield Curve Construction and Bootstrapping

The term structure of interest rates, also known as yield curve, is defined as the relationship between the yield-to-maturity on a zero coupon bond and the bond’s maturity. Zero yield curves play an essential role in the valuation of all financial products. This presentation gives an overview of curve construction and bootstrapping at http://www.finpricing.com/lib/IrCurve.html



June 06, 2018