Although it does not directly answer your question you might be
interested in:
Michalis Ioannides, A comparison of yield curve estimation techniques using UK
data, Journal of Banking & Finance, Volume 27, Issue 1, , January 2003,
Pages 1-26.
Abstract: I compare different methods of estimating the term structure of
interest rates on a daily UK treasury bill and gilt data that spans the period
from January 1995 to January 1999. In-sample and out-of-sample statistics reveal
the superior pricing ability of certain methods characterised by an exponential
functional form. In addition to these standard goodness of fit statistics, model
performance is judged in terms of two trading strategies based on model
residuals. Both strategies reveal that parsimonious representations of the term
structure perform better than their spline counterparts characterised by a
linear functional form. This is valid even when abnormal returns are adjusted
for market movements. Linear splines overfit the data and are likely to give
misleading results.
Author Keywords: Bonds; Trading strategy; Term structure of interest rates;
Pricing; Splines
gyadav at ccilindia.co.in schrieb:> Hi All,
>
> Thanks for all your discussions which I read offline and enhance my
> knowledge.
>
> 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.
>
> Sayonara With Smile & With Warm Regards :-)
>
> G a u r a v Y a d a v
> Senior Executive Officer,
> Economic Research & Surveillance Department,
> Clearing Corporation Of India Limited.
>
> Address: 5th, 6th, 7th Floor, Trade Wing 'C', Kamala City, S.B.
Marg,
> Mumbai - 400 013
> Telephone(Office): - +91 022 6663 9398 , Mobile(Personal) (0)9821286118
> Email(Office) :- gyadav at ccilindia.co.in , Email(Personal) :-
> emailtogauravyadav at gmail.com
>
>
>
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>
>