It is possible that the constant maturity treasury curve constructed daily by the NY Fed will serve your needs. (You didn't say what you were trying to accomplish AFAICS.) You can get history at http://www.federalreserve.gov/releases/h15/data.htm . Look for 'Treasury constant maturities'. They used to hand-fit a curve, but now they use an algorithm (which is documented somewhere I don't remember.) HTH David L. Reiner Rho Trading Securities, LLC Chicago IL 60605 312-362-4963 -----Original Message----- From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Brian G. Peterson Sent: Tuesday, October 10, 2006 6:18 AM To: r-sig-finance at stat.math.ethz.ch Subject: Re: [R-SIG-Finance] regarding bootstrapping... REVISITED
On Tuesday 10 October 2006 00:25, gyadav at ccilindia.co.in wrote:
i am trying to build a spot yield curve for fixed income market specifically bonds. i was told by my contacts that this can be done best by bootstrapping.
On Tuesday 10 October 2006 01:44, gyadav at ccilindia.co.in wrote:
I went through the thread( https://stat.ethz.ch/pipermail/r-sig-finance/2006q1/000682.html which concerns with swaps). Yeah it is correct that i would like to quote both David and Krishna that the curve interpolation may vary considerably (for e.g. any polynomial/parametric fit is very different from and curve fitting whether it is free hand or by NURBS ( complex version of Basis Splines ZZZzzz). My problem is that i want to know
how
can i generate spot curve using bootstrap method in R.Further, even if you do not have fixed maturity bonds i.e. when you need to create fictitious or virtual paper of varied fixed maturities like 1 month, 6 month, 1 year, 5 year, 10 year ..... so that you can create a spot curve from the traded points which may be like as follows.... for e.g.
Gaurav, I believe we're all saying the same thing. David has correctly pointed out that to simply discuss "bootstrapping a yield curve" does not necessarily imply the use of a statistical "bootstrap" method to build your curve, although it does not necessarily rule it out either. Kris in the earlier thread provided code for an interpolation/fit method using the discount rate. Thomas used a different method. Kris also provided reference to several papers that could be used to construct other methods, and pointed out that the choice of method will change your estimates, possibly significantly. My point was that you will need to test any fitting method against the specific problem that you have, and that a statistical bootstrap may or may not be appropriate to your problem. The input data you have available will help you determine the best fitting method to use. Both Thomas' code and Kris' code look like they will do a credible job of fitting a yield curve. Perhaps you should consider testing those methods against your problem, so that you could identify deficiencies that those methods may have in your specific implementation. Then we could discuss approaches here that might address the specific deficiencies that you identify. Regards, - Brian _______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance