hi Stefan
thanks for the reference but i do not have membership for the same.
Moreover i wanted to do it through R i.e. making of spot yield curve
through bootstrapping.
can you provide some links in R for the same.
-gaurav.
Stefan Grosse <[EMAIL PROTECTED]>
09-10-06 07:47 PM
To
[EMAIL PROTECTED], r-help <r-help@stat.math.ethz.ch>
cc
Subject
Re: [R] regarding bootstrapping
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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