[R-SIG-Finance] R-SIG-Finance Digest - Yield Curve Modeling

Kevin Ramoutar kevinramoutar at yahoo.co.uk
Fri Nov 17 12:49:31 CET 2006

Hello All,
Advance apologies for this not being specifically an R technical question.
I am attempting to construct the yield curve in a market characterised by the following:
1. There isn't an organised market for bond secondary market bond trading most corporate of issues are privately placed but the bond information is available via the local SEC;
2. Bond issues (govt) are few and far between lets say about 2-3 each quarter.
3. Most bonds issues are not rated by any agency so the extraction of the credit spread is made even more difficult.
The short end of the curve is no problem as there are Government issues that can cover up to the 1 year maturity.
Does anyone know of a case study or other literature that can provide guidance? Your help would be greatly appreciated.


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