Bootstrapping and the Zero-Coupon Yield Curve

By Simon, Jan

Finance

The technical note introduces the reader to bootstrapping. Applying the traditional DCF-method in bond pricing works well for retail investors. More sophisticated investors such as arbitrageurs and hedge funds need a more correct way of valuing fixed income products. Bootstrapping lies at the root of this and is the focus of this technical note.

Collection: IESE (España)

Ref: FN-642-E

Format: PDF

Number of pages: 5

Publication Date: Oct 17, 2019

Language: English

Description

Learning Objective

It should accompany exercises in which the yield curve needs "cleaning up" and/or exercises in which a clean yield is of importance. It could also be used with cases where zero-coupon yield curves are discussed or bootstrapping needs to be applied.

Bootstrapping and the Zero-Coupon Yield Curve

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Bootstrapping and the Zero-Coupon Yield Curve

Description

Learning Objective

Bootstrapping and the Zero-Coupon Yield Curve

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