Building Zero Curves

Building Zero Curves

This chapter starts with how examples of liquid interest bearing instruments (e.g. Treasury Bills, Treasury notes, Treasury Bonds, swaps, Euro‐dollar futures) are priced and settled. Using this as a backdrop, the practice of constructing a zero rate yield curve using market based liquid instruments...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: Ravindran, Kannoo, Heyer, Daniel D
Format: Buchkapitel
Sprache:eng
Schlagworte:
Cubic Splining
FINANCE & ACCOUNTING
Linear Interpolation
Matrices
Swaps
Term structure of zero rates
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Beschreibung
Zusammenfassung:This chapter starts with how examples of liquid interest bearing instruments (e.g. Treasury Bills, Treasury notes, Treasury Bonds, swaps, Euro‐dollar futures) are priced and settled. Using this as a backdrop, the practice of constructing a zero rate yield curve using market based liquid instruments using linear and cubic splining is discussed.
DOI:10.1002/9781118826157.ch2