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A generalized bootstrap method to determine the yield curve

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  • Richard Deaves
  • Mahmut Parlar

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.

Suggested Citation

  • Richard Deaves & Mahmut Parlar, 2000. "A generalized bootstrap method to determine the yield curve," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 257-270.
    • Handle: RePEc:taf:apmtfi:v:7:y:2000:i:4:p:257-270
    DOI: 10.1080/13504860010021162
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    References listed on IDEAS

    as
    1. Echols, Michael E. & Elliott, Jan Walter, 1976. "A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(1), pages 87-114, March.
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    3. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January.
    4. Lars E.O. Svensson, 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994," NBER Working Papers 4871, National Bureau of Economic Research, Inc.
    5. Robert A. Jarrow & Arkadev Chatterjea, 2019. "Interest Rates," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 2, pages 22-52, World Scientific Publishing Co. Pte. Ltd..
    6. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
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    Cited by:

    1. Damir Filipovi'c & Sander Willems, 2016. "Exact Smooth Term-Structure Estimation," Papers 1606.03899, arXiv.org, revised Aug 2018.

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