Main category
Economics (General Management)
Abstract
We present a method for bootstrapping a set of zero rates from an input set of US government money market securities and bonds. We detail the calculations used to convert ACT/365 continuously compounded zero rates to the rates. We assume semi-annual compounding and, respectively, 30/360 and ACT/360 day-count fraction.
Further reading
https://ia601404.us.archive.org/25/items/bondBootstrapping/bondBootstrapping.pdf
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