Zbootstrap: Use the Booststrap Method to determine discount factors Z(0,...

In grfiv/ustreasuries: Treasury Data Download, Fixed-Income Models and Derivative Analyses

Description

Assuming a sequence of semi-annual coupon bonds beginning with a maturity equal to six months and increasing, this function determines the sequence of discount factors for each time segment using the boothstrap method. This method is limited by the facts that it assumes evenly-spaced six-month maturities and an unbroken sequence. It is also iterative instead of using matrix algebra.

Usage

Zbootstrap(prices, coupons)

Arguments

prices	a vector of prices from the shortest (6-months) to the longest maturity
coupons	a vector, usually beginning with 0, with the annual coupon rate as a decimal

Value

Z a vector of the discount factors

Author(s)

George Fisher

References

Veronesi Ch2 p46-47

See Also

Nelson Seigel and Svensson are more helpful for dirty, real-life bond data.

Examples

# Veronesi Ch2 p 46
p1 <- 98.3607
c1 <- 0

p2 <- 99.2343
c2 <- 0.0275

p3 <- 99.1093
c3 <- 0.03

prices  <- c(p1, p2, p3)
coupons <- c(c1, c2, c3)

Zbootstrap(prices, coupons)

grfiv/ustreasuries documentation built on May 17, 2019, 8:36 a.m.