11. One approach to constructing the spot rate curve is bootstrapping, the basic principle of which is

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11. One approach to constructing the spot rate curve is bootstrapping, the basic principle of which is that the value of the cash flow from an on-the-run Treasury issue when discounted at the spot rates should be equal to the observed market price.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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Question Posted: Oct 23, 2024 10:00 AM

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11. One approach to constructing the spot rate curve is bootstrapping, the basic principle of which is that the value of the cash flow from an on-the-run Treasury issue when discounted at the spot...
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11. One approach to constructing the spot rate curve is bootstrapping, the basic principle of which is

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Measuring And Controlling Interest Rate And Credit Risk

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