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Zero Rate Curve Bootstrapping

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 27 Apr 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.6512460 , 10.5281/zenodo.3929830

Zero Rate Curve Bootstrapping

Abstract

Curve construction was based on single-curve approach. However, after the financial crisis, curve bootstrapping started to use multicurve approach that consists of a unique discounting curve and multiple forecasting curves

https://ia801407.us.archive.org/22/items/curve-construction-3_202110/CurveConstruction-3.pdf

Keywords

interest rate curve, yield curve, zero rate curve, swap curve

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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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impulse
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