Abstract
We will now explain how to obtain zero-coupon yield curves from market data for coupon bonds or interest rate swaps. To do so, we begin with some simple examples and show how to use linear bootstrapping to find the spot rates and forward rates from a number of benchmark instruments. Also we will show how to use the derived zero-coupon yields to discount future cash flows. Finally, we will use some real market data, such as bonds, deposits, forward rate agreements (FRAs) and swaps in the bootstrap procedure.
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Röman, J.R.M. (2017). Bootstrapping Yield Curves. In: Analytical Finance: Volume II. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-52584-6_6
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DOI: https://doi.org/10.1007/978-3-319-52584-6_6
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Publisher Name: Palgrave Macmillan, Cham
Print ISBN: 978-3-319-52583-9
Online ISBN: 978-3-319-52584-6
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