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

Thomas Steiner finbref.2006 at gmail.com
Thu Oct 12 14:13:26 CEST 2006

> 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):

More information about the R-SIG-Finance mailing list