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Bootstrapping Zero-Coupon Rates from the Yield Curve
After a short motivation of the term structure of zero-coupon rates, the article describes how to derive the zero-coupon rates from quoted instruments with different maturities. The focus is on semi-annually compounded zero-coupon rates due to their popularity on major financial markets (e.g. USA, U.K., Canada). The bootstrapping technology is described in general (gradual extension of the maturity of the respective instrument used). Afterwards, the article concentrates on bootstrapping from coupon bond prices and from par coupon rates (like constant maturity treasury yields or swap rates). For both methodologies, the bootstrapping procedure is illustrated by means of a numerical example.
Autor
Ao. Univ.-Prof. Dr. Manfred Frühwirth
 
ArtikelFachbereichFachrichtung
2015BetriebswirtschaftslehreFinanzwirtschaft
 
Schlagwörter
bootstrapping from bond prices, bootstrapping from par coupon rates, constant maturity treasury yields, present value of a bond, semi-annual coupons, semi-annually compounded spot interest rates, swap rate curve, term structure of interest rates, yield curve