[R-SIG-Finance] regarding bootstrapping
Brian G. Peterson
brian at braverock.com
Mon Oct 9 15:29:42 CEST 2006
On Monday 09 October 2006 07:11, gyadav at ccilindia.co.in wrote:
> 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.
Could you be a little more specific about what you're trying to do? If
you're trying to get current yield curves, there are simpler fitting
methods than bootstrapping (or just take it off Bloomberg). Any
introductory R/S statistics text will give you several fitting options.
If you're trying to forecast yield curve, what are you using as forecast
rates? If, for example, you're using futures prices, then again you have
many simpler fitting mechanisms than bootstapping. If you've got a more
complicated forecast range, then bootstrapping may be appropriate.
Inside R, try
and look at the examples most appropriate to your problem.
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