Re: [R] regarding bootstrapping

From: <gyadav_at_ccilindia.co.in>
Date: Tue 10 Oct 2006 - 05:29:14 GMT

hi Stefan

thanks for the reference but i do not have membership for the same. Moreover i wanted to do it through R i.e. making of spot yield curve through bootstrapping.
can you provide some links in R for the same.

-gaurav.

Stefan Grosse <singularitaet@gmx.net>
09-10-06 07:47 PM

To
gyadav@ccilindia.co.in, r-help <r-help@stat.math.ethz.ch> cc

Subject
Re: [R] regarding bootstrapping

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@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@ccilindia.co.in , Email(Personal) :-
> emailtogauravyadav@gmail.com
>
>
>



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