Hi all, I have used cubic spline to generate a par curve based on Treasury bills, notes and bonds.
Now I have a series of data, actually, 720 data points, each corresponding to a coupon payment date. I assumed the face value to be 100, coupon rate to be the same as the yield. Then how should I proceed to calculate the spot rate at each point?
I used discrete discounting method initially, but the number is not right.
I searched online for bootstrapping uneven spacing spot curve, but they only have 0.5 per year.
so Now if the coupon is paid 0.5 year apart, but I am going to receive the first coupon in just 0.3 year, then how I am supposed to calculate the spot rate at 0.8 year? hope anyone could help me out! thank you all!
1/15/2011 0.010034068
1/31/2011 0.08566033
2/15/2011 0.136702721
2/28/2011 0.15737154
3/15/2011 0.160600314
3/31/2011 0.150666408
4/15/2011 0.139566245
4/30/2011 0.134886987
5/15/2011 0.136777948
5/31/2011 0.144320503
6/15/2011 0.154962793
6/30/2011 0.167503892
7/15/2011 0.180420526
Now I have a series of data, actually, 720 data points, each corresponding to a coupon payment date. I assumed the face value to be 100, coupon rate to be the same as the yield. Then how should I proceed to calculate the spot rate at each point?
I used discrete discounting method initially, but the number is not right.
I searched online for bootstrapping uneven spacing spot curve, but they only have 0.5 per year.
so Now if the coupon is paid 0.5 year apart, but I am going to receive the first coupon in just 0.3 year, then how I am supposed to calculate the spot rate at 0.8 year? hope anyone could help me out! thank you all!
1/15/2011 0.010034068
1/31/2011 0.08566033
2/15/2011 0.136702721
2/28/2011 0.15737154
3/15/2011 0.160600314
3/31/2011 0.150666408
4/15/2011 0.139566245
4/30/2011 0.134886987
5/15/2011 0.136777948
5/31/2011 0.144320503
6/15/2011 0.154962793
6/30/2011 0.167503892
7/15/2011 0.180420526
