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Bootstrapping Yield Curve 1.0

  Date Added: August 13, 2013  |  Visits: 315

Bootstrapping Yield Curve

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Bootstrap the yield curve, discount curve and the forward curve from market data***************** BOOTSTRAPPING RESULTS **********************Time (Years)| Yield Curve | Discount Curve| Forward Curve |----------------------------------------------------------------------- 0.51 | 1.2404% | 0.9938 | 1.2366% | 1.01 | 1.1857% | 0.9881 | 1.1282% | 1.52 | 1.4177% | 0.9788 | 1.8735% | 2.03 | 1.8191% | 0.9641 | 3.0081% | 2.54 | 2.2704% | 0.9447 | 4.0628% | 3.04 | 2.6798% | 0.9226 | 4.6925% | 3.55 | 3.0091% | 0.9001 | 4.9538% | 4.06 | 3.2662% | 0.8777 | 5.0182% | 4.56 | 3.4694% | 0.8559 | 5.0521% | 5.07 | 3.6464% | 0.8339 | 5.1832% | 5.58 | 3.8090% | 0.8117 | 5.3740% | 6.09 | 3.9591% | 0.7895 | 5.5457% | 6.59 | 4.0913% | 0.7676 | 5.6195% | 7.10 | 4.1997% | 0.7466 | 5.5403% | 7.61 | 4.2799% | 0.7270 | 5.3424% | 8.12 | 4.3337% | 0.7087 | 5.0797% | 8.62 | 4.3650% | 0.6919 | 4.8105% | 9.13 | 4.3803% | 0.6761 | 4.5880% | 9.64 | 4.3876% | 0.6611 | 4.4698% | 10.15 | 4.3963% | 0.6462 | 4.5122% |~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ [YieldCurve, DiscountCurve, ForwardCurve] = Bootstrap( Bond, Schedule, Solver )======================================================INPUTS: Bond Bond.CashFlows - Matrix of all cash-flows of all bonds one column represents one bond. one row represents one cash-flow date Bond.BondMarketPrices - Vector of bond market prices Schedule Schedule.CashFlowSchedule - Times where future cash flows are paid. This is common to all bonds. This needs inputing in years from today and accounting for the right day count convention. Solver Solver.InterpolationMethod - Interpolation method to bootstrap the forward curve (the curve that is solved for). The valid inputs are: 'nearest' Nearest neighbor interpolation 'linear' Linear interpolation (default) 'spline' Cubic spline interpolation 'pchip' Piecewise cubic Hermite interpolation Graph Graph - If graph = 'on', the bootstrapping automatically generates a graph that consists in four subplots: the yield curve (yield to maturity), the discount to par value curve, the discount curve and the forward curve.====================================================== OUTPUTS: ForwardCurve - Vector of forward rates. There are as many forward rates output as cash flow dates input. For a given date t, the forward rate at this date represents the rate tarting from the previous date t-1 and maturing at the given date t.DiscountCurve - Vector of discount factors. There are as many discount factors output as cash flow dates input. YieldCurve - Vector of bond yields to maturity. There are as many bond yields output as cash flow dates input.

Requirements: No special requirements
Platforms: Matlab
Keyword: Accounting Bootstrap Common Convention Count Flows Future Inputing Inputs Interpolation Matrix Method Nearest Solved Solverinterpolationmethod Today Valid Years
Users rating: 0/10

License: Freeware Size: 40.96 KB
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