Bootstrap: Difference between revisions
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imported>Doug Williamson (Shorten first definition.) |
imported>Doug Williamson (Layout.) |
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1. | 1. | ||
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. | ||
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. | ||
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. | ||
Bootstrap effect. | Bootstrap effect. | ||
== See also == | == See also == | ||
Revision as of 10:38, 11 May 2016
1.
To calculate zero coupon yields from given par yields, for the same maturities and the same risk class.
2.
More generally, to calculate any yield curve from another given yield curve for the same maturities.
3.
To undertake any calculation process where the results from earlier calculations are inputs to subsequent calculations.
4.
Bootstrap effect.
