Pull out Yourself of the Swamp by Your Own Hair. The Bootstrapping Method

Ralf Korn () and Bernd Luderer ()
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Ralf Korn: TU Kaiserslautern
Bernd Luderer: TU Chemnitz

Chapter 31 in Money and Mathematics, 2021, pp 115-118 from Springer

Abstract: Abstract In order to construct yield curves, one needs the corresponding spot rates. In this story we describe how spot rates can be obtained from swap rates observable at the financial markets.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-658-34677-5_31

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DOI: 10.1007/978-3-658-34677-5_31

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