Journal article
A generalized bootstrap method to determine the yield curve
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 …
Authors
Deaves R; Parlar M
Journal
Applied Mathematical Finance, Vol. 7, No. 4, pp. 257–270
Publisher
Taylor & Francis
Publication Date
December 2000
DOI
10.1080/13504860010021162
ISSN
1350-486X