Bootstrapping Method

© Takoeta Fred, Hamadou Hamaounde

Supervised by Jan Röman

2005

INPUT FIELD

Prices on Bloomberg           Market:     Day Count:         Coupon Frequency:       

 Coupon [%]  Maturity  Price  Quote Type

     

OUTPUT FIELD

 Time to Maturity  A  B  Discount factor  Spot rate [%]  Forward rate [%]