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Bootstrap Method


A technique that is used to derive the zero-coupon yield curve from available market rates (spot curve figures) using interpolation. Interpolation helps determine the yields for Treasury zero-coupon securities across different maturities.

The bootstrap method (or bootstrapping) is basically used to fill in the missing parts of the yield curve due to unavailability of T-bills for all periods.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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