A generalized bootstrap method to determine the yield curve Academic Article uri icon

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abstract

  • A new technique is described for operationalizing the bootstrap methodology to estimate the yield curve given any available data set of bond yields. The problem of missing data points is dealt with using symbolic cubic spline interpolation. To make such an approach tractable the computer algebra system Maple is employed to symbolically generate the interpolation equations for the missing data points and to solve the nonlinear equation system in order to obtain the points on the yield curve. Several examples with real data demonstrate the usefulness of the methodology.

publication date

  • 2000