Home > Market Data > Yield Curves > Bootstrapping yield curve > Yield curve construction with bonds without calendar
Report generated 11-04-2023 10:42

Bootstrapping Yield Curve

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Yield curve construction with bonds without calendar
Steps Outcome
Given the following bond instruments with the trade date 2021-05-06
bond typeface valueinterest periodicitysettlement daysmaturitycoupon rateprice
zero_coupon1000D03M097.5
zero_coupon1000D06M094.9
zero_coupon1000D01Y090.0
fixed_rate1006M01Y6M0.0896.0
fixed_rate1006M02Y0.12101.6
SUCCESS 026ms
When the bootstrapping method is used to build the zero curve "curveName"
SUCCESS 001ms
Then the computed zero-coupons by maturity date should be
maturity datezero coupon
2021-08-060.10127123
2021-11-060.10469296
2022-05-060.10536052
2022-11-060.10680926
2023-05-060.10808028

SUCCESS 051ms
SUCCESS 0.09s
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