R help - Oct 2006 - [R-SIG-Finance] regarding bootstrapping... REVISITED

hi Thomas/All,

I went through the thread(
https://stat.ethz.ch/pipermail/r-sig-finance/2006q1/000682.html which 
concerns with swaps). Yeah it is correct that i would like to quote both 
David and Krishna that the curve interpolation may vary considerably (for 
e.g. any polynomial/parametric fit is very different from and curve 
fitting whether it is free hand or by NURBS ( complex version of Basis 
Splines ZZZzzz). My problem is that i want to know how can i generate spot 
curve using bootstrap methodin R.Further, even if you do not have fixed 
maturity bonds i.e. when you need to create fictitious or virtual paper of 
varied fixed maturities like 1 month, 6 month, 1 year, 5 year, 10 year 
..... so that you can create a spot curve from the traded points which may 
be like as follows.... for e.g.

Price,Residual Maturity, Coupon, Frequency, Redemption, Basis
98.45,0.53,5%,2,100,4
100.15,1.54,8%,2,100,4
99.56,8.5,4%,1,100,4
and
97.65,20.6,10%,2,100,4

thanks to all
with warm regards
-gaurav





"Thomas Steiner" <finbref.2006@gmail.com> 
09-10-06 09:18 PM

To
"gyadav@ccilindia.co.in" <gyadav@ccilindia.co.in>
cc
r-sig-finance@stat.math.ethz.ch
Subject
Re: [R-SIG-Finance] regarding bootstrapping






Gaurav,

some time ago I asked a very similar question. I got some very helpful
answers and some lines of code. Perhaps you want to read this (after
consulting Hull and the others):
https://stat.ethz.ch/pipermail/r-sig-finance/2006q1/000682.html

If you want to see some of my "present" code, just let me know.

Yours,
Thomas



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