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Download Now!Bootstrapping Yield Curve
Submitter: vanna Date: 2009/1/4
Description:
This file demonstrates calculation of yield curve using input data of following :
1.Market prices of bonds and their coupon payments
2.Times points for plotting yield curve

After pressing calculate button, it uses Nelder mead simplex method to optimize an objective function. The objective function compares market bond prices with bond prices calculated using guess values of forward rates. The optimized set of forward rates are then used to calculate yield curve

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Downloaded 6664 times  6664  File Size 0 bytes  Supported Platforms Excel VBA  Home Page http://www.quantcode.com/
Rating: 10.00 (1 vote)
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Poster Thread
Anonymous
Posted: 2011/4/19 14:57  Updated: 2011/4/19 14:57
 Bootstrapping Yield Curve
how to calculate forward futures

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