[R] [R-SIG-Finance] regarding bootstrapping... REVISITED

From: <gyadav_at_ccilindia.co.in>
Date: Tue 10 Oct 2006 - 06:44:59 GMT

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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