This preview has intentionally blurred sections. Sign up to view the full version.View Full Document
Unformatted text preview: Do we want a nice smooth curve? When the curve is not smooth, what does the forward curve look like? $0 should we assume that they absolutely correct or?- (-STRIPS quotes are slightly unreliable and some are llliquld- C-STRIPSquotes contain some excessively "rtcb" and "cheap" prices. Example C-STRIP Curves Sourte: I'l>;ed lnocme S«u,rt .. , -Bruce Tue,min, Second Edrti,," On the Run Only· Par Linear Yield Interpolation Start with the most recently auctioned. Assume trading at par linearly interpolate between yields Bootstra p the spot cu rve Fit a curve through available spots 3...
View Full Document
- Fall '11
- Finance, nice smooth curve, Bruce Tue,min