-
Zero Rate Curve Bootstrapping
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2021
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- zero rate curve, yield curve, interest rate curve, curve construction, curve bootstrapping
- Permanent URL:
- http://dx.doi.org/10.17613/3rm3-as19
- Abstract:
- Zero curves can be derived from government bonds or LIBOR/swap instruments. The LIBOR/swap term structure offers several advantages over government curves, and is a robust tool for pricing and hedging financial products. Correlations among governments and other fixed-income products have declined, making the swap term structure a more efficient hedging and pricing vehicle.
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 2 years ago
- License:
- All-Rights-Granted
ircurve-2.pdf