Although it does not directly answer your question you might be
interested in:
Michalis Ioannides, A comparison of yield curve estimation techniques using UK
data, Journal of Banking & Finance, Volume 27, Issue 1, , January 2003, Pages
1-26.
Abstract: I compare different methods of estimating the term structure of
interest rates on a daily UK treasury bill and gilt data that spans the period
from January 1995 to January 1999. In-sample and out-of-sample statistics
reveal the superior pricing ability of certain methods characterised by an
exponential functional form. In addition to these standard goodness of fit
statistics, model performance is judged in terms of two trading strategies
based on model residuals. Both strategies reveal that parsimonious
representations of the term structure perform better than their spline
counterparts characterised by a linear functional form. This is valid even when
abnormal returns are adjusted for market movements. Linear splines overfit the
data and are likely to give misleading results.
Author Keywords: Bonds; Trading strategy; Term structure of interest rates;
Pricing; Splines
[EMAIL PROTECTED] schrieb:
> Hi All,
>
> Thanks for all your discussions which I read offline and enhance my
> knowledge.
>
> I just want to know how to make yield curve by bootstrapping using R.
> Please give me some subject-matter links and code links.
> Especially the Spot Yield Curve and YTM Curve.
>
> Sayonara With Smile & With Warm Regards :-)
>
> G a u r a v Y a d a v
> Senior Executive Officer,
> Economic Research & Surveillance Department,
> Clearing Corporation Of India Limited.
>
> Address: 5th, 6th, 7th Floor, Trade Wing 'C', Kamala City, S.B. Marg,
> Mumbai - 400 013
> Telephone(Office): - +91 022 6663 9398 , Mobile(Personal) (0)9821286118
> Email(Office) :- [EMAIL PROTECTED] , Email(Personal) :-
> [EMAIL PROTECTED]
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>
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