Bootstrap: Difference between revisions
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imported>Doug Williamson (Layout.) |
imported>Doug Williamson m (Layout.) |
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1. | ''Calculations.'' | ||
1. ''Coupon yields.'' | |||
To calculate zero coupon yields from given par yields, for the same maturities and the same risk class. | To calculate zero coupon yields from given par yields, for the same maturities and the same risk class. | ||
2. | 2. ''Yield curve.'' | ||
More generally, to calculate any yield curve from another given yield curve for the same maturities. | More generally, to calculate any yield curve from another given yield curve for the same maturities. | ||
3. | 3. ''Inputs.'' | ||
To undertake any calculation process where the results from earlier calculations are inputs to subsequent calculations. | To undertake any calculation process where the results from earlier calculations are inputs to subsequent calculations. | ||
4. | 4. ''Result.'' | ||
Bootstrap effect. | Bootstrap effect. | ||
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* [[Zero coupon yield]] | * [[Zero coupon yield]] | ||
* [[Converting from par rates]] | * [[Converting from par rates]] | ||
[[Category:Investment]] | |||
[[Category:Financial_products_and_markets]] | |||
Revision as of 13:00, 25 March 2021
Calculations.
1. Coupon yields.
To calculate zero coupon yields from given par yields, for the same maturities and the same risk class.
2. Yield curve.
More generally, to calculate any yield curve from another given yield curve for the same maturities.
3. Inputs.
To undertake any calculation process where the results from earlier calculations are inputs to subsequent calculations.
4. Result.
Bootstrap effect.
