[R-SIG-Finance] regarding bootstrapping... REVISITED

[Thomas Steiner]

> 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.)

find it (briefly) here (cubic splines):
http://www.treas.gov/offices/domestic-finance/debt-management/interest-rate/yieldmethod.html
Thomas