
hi David,

Thnks for this insight, yeah you are correct i want to do the same. i,e, "
Yield curve bootstrapping is constructing a yield curve from market 
instruments' prices (deposit rates or [L]ibors, Eurocurrency prices, 
swaps.)" to quote you.  In my case it is the Bonds. 
Thus can you give me the algorithm/code in any language may it be R, C, 
Vbasic, C++ etc. I would be really thankful to you.

with regards
thanks
-gaurav





<davidr@rhotrading.com> 
09-10-06 08:55 PM

To
"Brian G. Peterson" <brian@braverock.com>, 
<r-sig-finance@stat.math.ethz.ch>
cc

Subject
RE: [R-SIG-Finance] regarding bootstrapping






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@stat.math.ethz.ch
[mailto:r-sig-finance-bounces@stat.math.ethz.ch] On Behalf Of Brian G.
Peterson
Sent: Monday, October 09, 2006 8:30 AM
To: r-sig-finance@stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] regarding bootstrapping

On Monday 09 October 2006 07:11, gyadav@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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