[R-SIG-Finance] regarding bootstrapping

[davidr at rhotrading.com]

Yield curve bootstrapping and statistical bootstrapping are not really
related.
Yield curve bootstrapping is constructing a yield curve from market
instruments' prices (deposit rates or [L]ibors, Eurocurrency prices,
swaps.)
There are so many ways of doing it, that I suspect you will have to do
it yourself to get something suitable for your particular situation.
You could start with one of the 'big' finance texts that covers it in
some detail, such as Hull.

Good luck!

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: Monday, October 09, 2006 8:30 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] regarding bootstrapping

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 

help.search ("bootstrap")

and look at the examples most appropriate to your problem.

Regards,

 - Brian

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